Here's a practical example of where theme development runs into trouble from module theme functions: overusing theme functions or using the wrong theme functions. 

In theme.inc (core) is the function theme_form_element which is roughly this (may be old code):

function theme_form_element($title, $value, $description = NULL, $id = NULL, $required = FALSE, $error = FALSE) {

  $output  = "<div class=\"form-item\">\n";
  $required = $required ? '<span class="form-required">*</span>' : '';

  if ($title) {
    if ($id) {
      $output .= " <label for=\"$id\">$title:</label>$required<br />\n";
    }
    else {
      $output .= " <label>$title:</label>$required<br />\n";
    }
  }

Now, the <br /> tags _aren't_ the big problem here.

The problem is that modules (including core modules like profile.module) call this function for both form input _and_ form output.  From a design/theme p.o.v., those are two distinct things and should be treated as such.

Is this a _really big deal_ that causes Drupal to break?  Probably not.  But imagine my surprise when I used PHPTemplate to override this theme function, and all the form elements on my entire site changed instantly (and broke).