In general there aren't that many issues.
However, higher wattage/voltage ratings usually mean larger components. If you're just doing bread-boarding or have ample PCB space, these aren't that big of an issue (it may even be helpful to have larger components to route things through them).
However,Additionally when it comes to anything with high frequencies, size can start to play a role in both the PCB layout and intrinsic properties of the components such as undesired inductances and capacitances.