Good question, and is an especially good time to address, considering so many new reloaders coming into this hobby, and at such a high rate.
As for what concerns set back presents, it can cause chamber pressures to increase unpredictably, and potentially to dangerous levels. I think a good example of this is, Speer did a test using a 9mm cartridge. they developed a normal load that was producing a reasonable average pressure of 28,000 cup at a given OAL. Then they used the same load, but this time they seated the bullet .030" deeper. The result was pressures went to 62,000 cup, that's over double the pressures as opposed to the original OAL.
Measure a single round, and then cycle it through your firearm, as you would normally do each time you load it for carry. Then take that one bullet and cycle it through the firearm 15 times or so, do it in the same manner as you normally would. When you finish, measure it again, calculate the difference and you'll then know if you have a problem, or not. If it sets back more than just a few thou, I would probably soft chamber to load each time from now on, rather than just dropping the slide. But if you experience a lot of set back, like more than .010" after only a couple times of cycling it, I would look closer at my reloading process, especially my crimp.
GS