If you are still running sense wires all the way to the load from the bar, then the extra connector in the sense path is no trouble.
The sense current is tiny, and the voltage drop on the sense line is (sense current)*(sense line resistance). Because of the tiny sense current, a little bit of sense line resistance doesn't matter. This is why sense lines don't have to use heavy wire, even for high current supplies.
If you connect the sense to the power at the outlet bar, then you have to worry about voltage drop in the power line between the bar and your load.