I've done about 10 PSPs so I can help.
No there are NO cons basicly. Why? Cause you can put custom firm ware on your PSP and then NEVER use it as more than a normal PSP, never use a pirated/backed up game, and it will all still work. You could give most people a CFW PSP and they wouldn't know it's modded.
The tools used to flash a PSP are basicly the same tools Sony uses in the factory to bypass the firmware on the flashrom and run tools to unbrick it. So you're using unbricking tools to mod your PSP, if you brick it in the process, you just start over agian and unbrick it. The only way you can HURT your PSP running the pandora tools is to DROP it while you're doing it. ...Don't do that.
There is one minor issue to considder however. CFW allows you to access the flash rom space and alterate if you want to, if you don't have your own pandora/unbricking tools in there, you could mess around in there and brick your PSP and have to go find someone to fix it for you. But you should NEVER have a reason to go in there in the first place. Just don't.
