Any break it the roof structure is a potential weak point. The benefit of extra light outweighs the risk for me.
Of my four velux windows, one leaks intermittently. I can't quite figure out what is allowing the leak, though.
Ours don't leak, but they are noisy!
I made the mistake of trying to save a few quid by having double layer plastic ones fitted, and they make a hell of a racket when it rains, drowning out the TV some times. Eventually I'm going to follow acoustic secondary glazing principles by fitting another glazing sheet halfway down the upstand, with sound absorbing tiles lining the area in between.