A quick case study might help. Here's the download performance of a sprite from SitePoint. 83ms spent waiting for the first byte of the response, and 147ms downloading the content. Let's pretend that we were to split this sprite into two images, and that doing so would reduce the total bytes by 20%. In that case, our choice would be between:
One file: 83ms + 147ms = 230ms
- vs -
Two files, 20% fewer bytes: (83ms + 59ms) + (83ms + 59ms) = 284ms
If we were to split this sprite into not just two, but five files, then the accumulated overhead would be even greater.
EDIT: And to answer your question in a more broad way: A sprite would no longer be worth the effort when the increased filesize (if any) takes more time to download than is saved by eliminating however many number of HTTP requests.