If you have the insurance to cover the study, then you're only out one night in your own bed. Its really hard to judge how well we are breathing when asleep, because we're just that ~ asleep.
It can help with fatigue during the day too. You know what I discovered, and my family and friends noticed it too (without having it pointed out to them) is, during the day, when I take the time out to use the bipap for about 20 minutes or so, not only do I feel better, and stronger, but my voice gets louder and stronger too.
Even if a sleep study finds you're A-OK, the information will still be useful in creating a baseline.