No CUs are consumed by the ComputeBudget program, but it will fail on duplicates to avoid someone spamming with transactions that only use the ComputeBudget program.

You can see the reference code: https://github.com/solana-labs/solana/blob/ca115594ff61086d67b4fec8977f5762e526a457/program-runtime/src/compute_budget.rs#L151-L242

Edit: 150 CUs are consumed by the ComputeBudget program, per https://github.com/solana-labs/solana/blob/a36e1b211d144f3cf0f2a6f68da7600b49454c1a/runtime/src/block_cost_limits.rs#L45

It will also fail on duplicates to avoid someone spamming with transactions that only use the ComputeBudget program.

You can see the reference code: https://github.com/solana-labs/solana/blob/ca115594ff61086d67b4fec8977f5762e526a457/program-runtime/src/compute_budget.rs#L151-L242