Initial block download you check:
Block-
Syntax, PoW, timestamp, blocksize, and
Txn-
Syntax, signatures, inputs, and outputs
So, I am not sure what you mean by "download and hash"
To check the signature, you hash the transaction. So the only cost that OP_RETURN is doing is the cost to download and hash it.
If it's data in the annex you don't even need fi hash it, just download it.