What is the cost of an .await point?

For this to work, perhaps Rust should cooperate too, inserting .await points at strategic places in the code, to keep cost low but still guaranteeing a certain responsiveness of the overall system.

That would explode the state machine size and make its performance characterization very hard.

And you would need to avoid having any kind of call to external code (or yield before and after every such call, and pray for the best).

If I understand the futures::pending!() macro correctly, one can use that to add a forced yield point in a loop, right?

Yes, it creates a future, and then immediately .awaits it.