I have both, I started out with SAS free and felt it worthy enough to buy the Pro version, this was before I even heard of MBAM.
So for some time I had SAS Pro as resident anti-spyware and trialled the MBAM free. In the end I purchased a Pro license for that and now run SAS Pro as non-resident on-demand anti-spyware.
SAS hasn't found anything (I don't have it scan for cookies) for some considerable time, but then again has MBAM other than a couple of FPs, not that I expect either of them to find anything. When you look at the features there is a little difference in both and SAS has some good Repair functions also.
So for me there isn't an issue in having them both, but only one should be the resident on-access anti-spyware, in the same way as not having multiple resident on-access AVs..