The only one I can think of is, if a machine that has been compromised while connected to the VPN, apart from the obvious of putting your internal network at risk. The machine can be used as a jumping off point to Hack/Spam/DOS out to the internet with a source IP of your firewall - effectlivly black listing your IP range. This does hamper doing buisness.
Other than that - can't think of anything else.
HTH>