[UrLicht]

The tuning pegs might become stuck to the side of the pegboard holes they are in. Also, if the strings are not kept at the correct tension, there is a real possibility of the iron frame becoming warped or even breaking.

[udp]

Same thing happens with a guitar if you leave it without strings or heavily detuned. The neck can begin to warp and become very easy to break.

[soperj]

That's also why you have a truss rod, to prevent/correct neck warping. I've never seen a neck that was easy to break though...