I've only skimmed articles about refilling in general, and never "noticed" anything alarming. However, I'd would take a serioius WAG that refilling cartridges that have their own print heads, like HP would present the least risk:
If the ink has more suspended solids, or solids of a higher micron size, then I'd imaging that eventually the nozzles / jets could clog. If a HP cartridge clogs, you just buy another. With a Cannon, or other printers with the nozzles / jets built into the printer, then it would be a more expensive fix.
I guess (again) that this could also be true if any of the refill inks have anything that could gum up or otherwise clog the nozzles /jets.

TwoRails