There is at least one precedent, as described on the Wikipedia article on Easter eggs:
The CVAX microchip implementation of the MicroVAX cpu contained in its etchings the Russian phrase in the Cyrillic alphabet "VAX: When you care enough to steal the very best" in an effort to needle potential intellectual property-stealing clone manufacturers in the Soviet Bloc.
A little bit more detail on this, can be found on this article on CVAX (which is the reference to the above quote):
Finally, the scribe lane contained the Cyrillic motto "VAX: When you care enough to steal the very best". In 1983, an Unnamed Intelligence Agency had given me the wording, saying that they got it off a purloined VAX-11/780 that was running a Soviet SS20 missile complex. Knowing that some CVAX's would end up in the USSR, the team wanted the Russians to know that we were thinking of them.
As per your specific questions:
What if the konami code is too sensitive and user triggers it?
The Konami code is too well known, hence the possibility of a user triggering it is larger. If you go through with the Easter egg, you should choose an original (and larger) sequence. Since your Easter egg is supposed to be a protection mechanism instead of mindless fun, it'd be best if the sequence wasn't known outside of your company.
Does this kind of watermark have any legal value?
I am the one developping this trigger. If things go wrong, what is my responsibility?
Consult a lawyer. It highly depends on your locale and the specifics of your contract. In any case, it'd be best to have some proof in written form that the management explicitly asked for the Easter egg. An exchange of emails where it's shown that you raised some concerns should be enough.
What if this "feature" is discovered by the client?
Depends on the client. Some might laugh, some might sue. My opinion is that since the Easter egg is included as means of IP protection, the client should be informed as for every other feature you build for him / her.
The performance penalty should be very small, since the soft run on small devices.
Yes it should, obviously. If you find out that implementing the Easter egg has a measurable performance penalty, that'd be the best reason to not do it.
I have no opinion either way. If you consult a lawyer and cover all your legal bases, go for it, it will probably be useless but you never know.
Update: The CVAX example is of course a hardware example, but I think there aren't any more relevant examples (for software and / or embedded software) that I know of. I've based the answer around it mostly to answer the
Has anyone tried it part of the question. I've searched around for other examples, didn't found any and now I have something of an opinion:
It's probably not a very good idea. (not the Easter egg part, the
means of IP protection part). Since the idea is neither original nor innovative (the contexts may be different but similar), if it worked there would be at least a few examples out there.