On the video, we can notice a few things about spies:
- Counterspying is cheaper than stealing tech/civic. But it seems to be directed only against one civ, so no easy protection.
- Counterspying does not reduce the odd of success, just the odds of being discovered (decrease of relations? possible justification for official war?) and execution time.
- You can spy the position of enemy leaders, which can have a lot of applications (discover map, see if opponent can threaten you, see if you can attack vulnerable parts, etc...)
- The other two missions showed are "open the doors", which destroys the defence in a quarter (quite strong!! But timing is to be perfect) and "sabotage specialists morale" (most liquely increase happiness costs of specialists in a city, also quite strong).
So all this seems rather strong, but remember that influence won't be plentifull (or at least not early), so by using spying and sanctions you deprive yourself of beneficial effects (endeavors, more trade routes,...) and might suffer on war support...