I have done some testing, and the mirror appears to work, but it doesn't mirror the vmx file, so if I loose the original data store, I loose the vmx. Would that crash the VM ?
Guest OS disk mirroring will not mirror the virtual machine configuration files, it will only mirror data from one vmdk to another. About the vmx, you can manually copy this file to the new datastore folder or in case the crash of datastore where primary virtual machine files reside, just recreate the virtual machine, and instead of create a new virtual hard disk, use the existent (that is the disk mirror).
Any other issues that I should look at ? CPU hit ( I believe it is very small) ?
The best option is use hardware based RAID that will include dedicated CPU and cache memory, but if you don't experience notable performance issue... just go ahead.
Anyway, the best option if you want "duplicate" a live VM, you should look for a vSphere feature called Fault Tolerance, but you will need some license requirements and the virtual machine cannot have more than one vCPU.