If you're pushing the limits of the displayport spec (ie, 60Hz 4k or runs longer than 3 feet) then you need to get quality cables from a reputable manufacturer.
If your monitor is under 4k resolution, then cheap short cables will often work fine.
Beyond that I don't know of any real gotchas. Obviously if you buy absolute junk there's a possibility the connectors will damage your ports, but in the majority of cases the worst case scenario is that it doesn't work at all, and more likely it'll work at lower resolutions/framerates but you'll experience problems at higher resolutions and framerates.
Unless they're talking about converter cables and resolutions over 1080p, I don't know what they might be warning about. If you want a DP to DVI/HDMI converter cable to work at resolutions greater than 1080p, you'll need to choose carefully, since most are pretty basic. However, I'm not sure how many higher resolution monitors don't have displayport.