Probably because every 0.01 seconds you're enumerating every single unit in the entire map. If you've got enough units on your map that is going to cause terrible lag.
Oh, actually, there are a number of things wrong here. First of all, you should not be registering the same event to the unit twice, because then it will execute the actions twice (even on only one instance of the event occurring). Since you do this every 0.01 seconds, you're going to be generating 99 unnecessary actions in only one second, for one unit (in addition to enumerating all units 100 times a second).
Instead of enumerating all units every 0.01 seconds, allocate the work to different triggers. Have one trigger that adds all existing units on the map (same way you are doing now) to the event that the unit's life goes below a certain amount. Then have a trigger that detects when units enter the map, and add them to the event when that happens. This takes care of units that existed on map initialization, and units that may be added to the map afterwards.
You'll still have to fix your issue with adding the events to units multiple times, though in this case it won't matter. If you had an action that was additive (such as subtracting X amount of life) then you would definitely notice this.
Unit Life Fall Back
Events
Time - Every 0.01 seconds of game time
Conditions
Actions
Unit Group - Pick every unit in (Units in (Entire map)) and do (Actions)
Trigger - Add to Unit Fall back <gen> the event (Unit - (Picked unit)'s life becomes Less than 500.00)
Unit - Order (Picked unit) to Move To ((Position of (Picked unit)) offset by 256.00 towards 10.00 degrees)
