It's generally all the OTHER details that people conveniently skim over in these descriptions that get people hurt, or the less obvious exposure to unexpected risks for the counterparty.
As a (pretty common) comparison - if a gay man marries a woman, has kids, does the whole couple thing and blends in, but periodically goes to clubs or gay bars, or has a boyfriend on the side, who are they really hurting?
What about the equivalent straight man with a mistress on the side? Or two? Or the woman with a side man?
Well, as long as everything goes perfect, I guess just themselves by pretending to be someone they aren't most of their lives and having to lie to everyone every day. And certainly the cards have been stacked against them in a great number of societies and environments (to the point of death penalties in some cases if they don't hide), so it's hard to blame them for hiding doing it in those situations if they really can't stop.
But it almost never just goes perfectly forever does it? Eventually, either someone finds out (and now they're exposed to blackmail risk, or a bitter divorce and lots of bad publicity), or someone gets sick with something they shouldn't have been able to, or pregnant, or whatever. There were a decent number of counterparties in supposedly monogamous relationships over the years that have gotten diseases they should not have been able to get, including HIV, from this type of stuff. It can trigger severe emotional trauma in people. Folks get killed over this kind of thing somewhat frequently.
From a corporate equivalent, think - traceable customer information leak. Or attackers get control of the corporate network through a hidden VPN endpoint configured to allow these contractors in to do things, and do things from crypto-ransom the company to outright rob the company blind.
An acquaintance at a company I only briefly worked at years ago got busted for siphoning MILLIONS of dollars through phony affiliates he'd setup at the company. He was in charge of the affiliate program. I never cared for him, and wasn't particularly surprised, and was part of the reason I left once I saw what I had gotten myself into, but it was a good cautionary tale.
The company had been really happy with overall performance, they just hadn't noticed the extra 'tax' they were paying him until he did something else sketchy and they started looking closer.
The reason to avoid doing sketchy things, is because they inevitably have hidden costs, from cognitive overhead from constantly tracking all the lies, to real risks of extreme bad problems that others are being exposed to. It's often lucrative enough however, that there is always the temptation.
It's why 'sunshine is the best disinfectant' is still so true.
After all, generally if everyone was actually comfortable with it and it's side effects, there would be no need to be sketchy about it.