sage-mode should start sage when needed (at least there should be an option). Right now there are at least some cases where it doesn't work.
Depending on what "when needed" means, I'd rather this be on option. It would definitely be a major annoyance if sage started every time sage-mode was invoked.
It was a while ago so I don't remember exactly what I had in mind, but I think it was completion. Lately, I've been starting sage before editing sage files so I haven't run into it.
I was planning to make it an option to "always start automatically", "never start automatically", or "ask before starting".