I wouldn't worry about power consumption. It shouldn't consume any measurable power while just sitting in the slot (I have done battery timing measurements on my Palm with/without SD card inserted), and usually you won't access the card for extended periods of time. Even when you do (I've done that when running read/write speed test programs on my Palm T3) it's not any big battery drain by the card, in fact compared to how wi-fi sucks the battery (and the next big one, but not as bad as wi-fi, is the screen backlight) the card power consumption neglible.

Disclaimer: The above is based on other devices (Sharp and Palm), I haven't received my N800 yet. But I would be surprised if the reality is much different there.

Oh, and if the N800 doesn't have a proper, standard push-to-pop-out-card mechanism then Nokia should be very, very embarrassed of themselves. Unprofessional.