An elegant optimization, but how would you intersect two of these efficiently? It sounds like you'd need to iterate over the entire dense vector and do a sparse-vector check for each and every value (O(m) with a very high constant factor). Either that, or sort both sparse vectors (O(n log n)).
Right; generally the constant factors of this approach are horrible though, can't think of any situation where it'd be worth it on systems with, well, cache (or a TLB for that matter, which is even worse off with the sparse memory usage).