Does this feature consume high amount of data?
Depends on how much data the app has created. Whatsapp for example can use up multiple GBs of data if you have too many media files.
Is it possible to enable this for certain apps only?
I am not sure, depends on the apps I guess. Whatsapp for example allows you to backup it's data. If you are looking for a more general solution on Android, I'd personally prefer to use Titanium backup that allows backing up apps and their data as well. Note that this could still take up a lot of disk space and also requires root.
What happens I have multiple devices with same app but different settings?
I didn't understand this question. Can you give an example?
If you are asking about backing up the same app across different devices, the backups will be local to the devices you backed up the app on, so the settings would remain the the device. That is unless you store the app data to the cloud.