Nick, this link is the first one I've found that explains a bit about the hazards - http://www.ecmweb.com/content/fundamentals-harmonics

I'm in no way an expert, but the problem with the higher order harmonics, is the higher the frequency passing through a conductor, the more the current travels towards the outside of the conductor. IIRC it's called the skin effect, and is why the insulation is far more likely to fail, despite wiring being adequately sized for the rated voltage/current.