IMO somebody should REALLY ask Microsoft about this.
But then again,we should be able to,after all we PAID for the new OS (or paid extra $$ for a new PC with it installed),and they disclaim any damage to your PC as a result of modification to the OS (don't they?).
Therefore it should be allowed,but we should also know the risks taken as a result of attempting to fix the OS to our tastes.
But as I've found out,it isn't just our tweaking that can ruin a PC-some of those updates Microsoft has can mess the computer up too-my dad's PC hasn't had any of my tweaks,but he's downloaded loads of updates on his nearly 2 GHZ PC,and now the system hangs so often it's ridiculous,not to mention the video card's driver seemingly has conflicts with some of those updates,resulting in it occasionaly failing and displaying in 16 color(that's 16,not 16 million!).So he has to reboot an awful lot.
I've only downloaded WMP 9 and SP1 on my 300 Mhz (I know that's VERY slow) but it's 160 Megs of RAM help make up,not to mention it's video card is better than the one in my newer computer that recently died(older one can display 32 color but newer one can't?? odd..) ,so my computer runs smoother and faster than my newer one did,and rarely hangs.
So I don't think it's always our fault if the OS crashes or goes awry,but I don't think it (usually?) helps.
And I am NOT suggest you risk your computer getting hacked,but instead crashes and hangs too much probably isn't that worth it.
Though I suggest a good firewall and update a lot will likely help anyway.
And sometimes the hotfixes make it worse!!!

Just my fill on this,I'll be surprised if you read it all.
p.s. Thanx to sig for posting that link,much appreciated