Any disadvantage to hooking up to a shipyard with every planet?

nope.

You have to find a good point to eventually get a shipyard on those distant worlds, but in principle, nope, no reason not to do it.

No in Crusade since social and ship construction are separate.

OK thanks. Well at least that somewhat helps mitigate the reduced Raw Production from Pop because it's simultaneously being used for 4 functions (Social Construction, Ship Construction, Research, and Income). So I guess having a world with 4 pop produces a total of 8 'points' whereas going to 9 produces 12 and going to 16 pop nets 16 total. The diminishing returns are obviously there, but still significant if weighed over the whole of your economy. 

On the other hand, it's harder to keep a larger Pop happy, so you start to see even greater diminishing returns. Somewhere I'm sure is a breakpoint of just adding more buildings rather than focusing on Cities, Food, AND Happiness...

There are two factors that could have an impact on this question if anything changes in the future. Currently no administrators are required and no maintenance is assessed for shipyards.

It seems like a noob trap that they even let you not sponsor a shipyard at all. It seems like planets should just auto-sponsor the closest shipyard on their own, why make it a choice when it's not even a strategic decision anymore?

This may be true depending on your map settings--but the way I play, generally, shipyard placement and sponsorship is a strategic decision.

I play with planets pretty sparse, and I operate very few shipyards until mid to late game. As a result, I shift shipyard sponsors based on which planets give the greatest value. Some of my planets do not sponsor a shipyard because, for instance, I'll have 12 planets and 2 shipyards, so 2 of those planets aren't doing anything with their military production...

Also, you can change sponsors to affect the starting location of trade ships, which I find useful.

That said, I wouldn't be opposed to an auto-assign of the highest production value (not the closest 5 planets as proximity and production are not always equivalent) as long as there was an override.

I see such a feature as being problematic, though, because if you told the computer to optimize your shipyard sponsors, it may attach a sponsor to a shipyard that is not strategically located but gets the highest bonus.

For instance, if a planet would give 23 military manufacturing to its nearest shipyard but 22 to another, you might prefer it send the 22 to the other shipyard because of the location of that shipyard (closer to an enemy or more important to defend).

Or, you might want to sponsor a more distant shipyard to even out their production capacities. Say, for example, you had a shipyard with 5 sponsors that had 200 manufacturing total and another with 5 sponsors and only 55 manufacturing. You may want to shift production that would be "best" at the more productive shipyard to the less productive shipyard, say by trading a 50 production sponsor with a 5 production sponsor. Even if you lost a little due to distance, you might end up with something like 101 production and 153 production at the two shipyards, which may be strategically important.

I guess what I'm trying to say is, there is still strategic value to paying attention to what planets sponsor which shipyards, and I wouldn't want planets auto-assigned to my shipyards.

It is used to be a trap. Newly or developing colony shouldn't sponsor shipyard at all since it will slow down their development. Not the case for Crusade. If your planets are not sponsoring shipyard, you just waste ship production, even it is just 1.

I don't disagree with that, but the strategy is related to what your planet to shipyard ratio is and whether you should prioritize creating a shipyard to ensure all planets have something to sponsor.

So, if you have planets that aren't sponsoring shipyards but could be, then yes, sponsor a shipyard for sure.

But since creating shipyards takes up time and social production and may not be worth it for a while depending on the strength of a planet, I may not create a shipyard and instead focus on building something else for a time, which may result in a planet not using its military production. I don't think that should be a long-term situation, but sometimes other projects take priority.

I'll often wait until I have a planet that can quickly build a shipyard and a few other planets with no shipyard to sponsor before building a new shipyard... but that's just me.