What is the downside of adding all subsidiaries to all customers as children subsidiaries? We are trying to find the best way to import sales orders from a different system for new subsidiaries the do not exist on customer records.

Ideally you should only set the subsidiaries that, that customer is going to transact in, otherwise you risk transactions being loaded to the wrong subsidiary, now or in the future. I usually do a lookup on the old data to work out what the updates to the customers are that are required, do that and then import the transacions.