It's a bad thing because it's not supported.
I honestly have no idea why Microsoft doesn't support some things. They've got their reasons though, I'm sure. Sometimes it's to dictate what your business does with your technology (a reason I don't quite like, but they're in the position to do it). Sometimes it's because of conflicts with other roles. Sometimes it's because they don't know what future updates will do to that particular configuration.
I would recommend that you don't do anything that's not supported. Microsoft releases updates at least 2 times a month and there's no guarantee that they will test an unsupported configuration. 1 of these updates could easily hose your system and Microsoft will have little remorse because they told you so. Do you really want to try to explain that to your client or boss? I'm sure you don't, so act wisely and don't deploy a role you know to be unsupported.