I'd like to do something like this is a Style:
Value="{x:Bind MyCustomDependencyProp, RelativeSource={RelativeSource TemplatedParent}}"
Is that possible? Are there any performance benefits?
Using TemplateBinding does not seem to work, with a custom DependencyProperty as described elsewhere here on SO: https://stackoverflow.com/a/8657453
RelativeSource (with x:Bind) is not supported, therefore this particular scenario won't be possible (at the moment, at least).
Using TemplateBinding or standard Binding to TemplatedParent (as you mentioned) are workarounds.
TemplateBinding is already an optimized version of Binding so it shouldn't be that big of a deal according to this Build 2015 session by Sam Spencer.