Sedation is always a risk, always. Anyone who tells you differently is full of it. You need to speak with your vet about their experience, and what anesthetic they use, and also specifically ask who is monitoring the anesthesia. I wouldn't trust a clinic that doesn't have at least one certified/registered/licensed vet tech to help with something like that. An experienced staff will take a lot of the risk out of it. Not all, but some. The type of anesthetic also makes a difference, the invention of gas anesthetics like isoflurane and sevoflurane have made anesthesia much safer because of how they're metabolized, they enter and leave the body very quickly which means that the bird is sedated much more quickly and will wake up much faster. Again, competent staff will make all the difference!
Each vet does things a little differently and that's not a bad thing. The vet that I work with will sedate the smaller birds (under 150g) to do their blood draws because of the limited amount of blood that can be taken from those guys. Eliminating the risk that the bird will somehow move when she hits the vessel and she is able to ensure that the bird clots appropriately. She won't sedate any bird that she feels is debilitated though, because they're at a higher anesthetic risk. That's my vet. The CAV down the road at the University (who trained my vet and will consult with her) will do blood draws on any bird without sedation.
My personal opinion is that sedation for things like exams (anything non invasive) is unnecessary unless the bird is so stressed out by human contact that it is dangerous for the bird. To me, makes sense for things like blood draws on smaller birds and for x-rays on any species due to the risk of harm to the patient. Talk with your vet and ask them why they do what they do, what they use, and most importantly about their experience and the experience of their staff. If you're not satisfied or if they don't answer all of your questions, then go from there.