As stated, the "dose makes the poison." So long as you're choosing a decent sauce (minimal ingredients and low in sugar) it's not going to hurt you whatsoever.
I prefer natural taste of foods, personally. But when I jazz stuff up:
I use dinosaur BBQ sauce. It has a couple grams of sugar per Tablespoon and I barely even use that when I drip some on my chicken (or other meats.)
I also use lots of hot sauce and salsa. Both are flippin' GREAT "sauces" to utilize with great health benefits.
Paleo Sauce Suggestions? 10 Answers