Reloads in Glocks with unsupported chambers can cause a catastrophic failure.
If you have a Glock .40 S&W, look at your fired brass and you will likely see a bulge at the cartridge base - looks kinda like a pregnant guppy. This bulge is the result of an unsupported chamber.
Now imagine this bulge occurring in a reloaded cartridge that has already undergone the stress of firing - if this brass is too weak to withstand the bulging that occurs in the Glock, it's gonna let go.
Also, there are people who say that shooting lead thru Glock's polygonal rifled barrels could cause leading. If this leading occurs just forward of the chamber, it could potentially cause an unsafe over-pressurization event, otherwise known as a kaBOOM! - this is reportedly more of an issue in the .40S&W caliber, which is supposed to be very near the edge of safe pressure tolerances anyways.
On a related note, it is also reported that bullet setback of just a couple of millimeters in a .40S&W round could also cause a similar over-pressurization event.
People just love to point out that Glocks, especially the .40S&W's, have a tendency to kaBOOM! (whether statistically true or not - I'm not going to get into that argument).
If this is of a great concern to you, there are plenty of aftermarket barrels available for Glocks that address both the polygonal rifling and unsupported chamber.