Hello Giacomo
Ideally, you should apply the command only where it is needed. This way you can avoid any unnecessary dense mode flooding of the Auto-RP groups of 224.0.1.39 and 224.0.1.40. However, keep in mind that even if you do apply the command in your whole topology, it is only these two groups that are treated using the dense mode flooding. In most topologies, this would not cause an issue with overhead in bandwidth, CPU, and memory.
I hope this has been helpful!
Laz