there are all manner of problems with increasing power:
- you have to pay for the electricity
- you generate more heat, which has to go somewhere
- you probably need better cooling for your case
- you might need cooling for your room
- more cooling for a room means more power again and possibly the expense of the room cooling solution
- there are hard limits to domestic wiring particularly in the US and places which use 110v
- if the air around your case warms up that means less effective cooling for all components
- transient power draw issue basically makes you have to evaluate any sub 1000W PSU, the upgrade to a good quality PSU could easily be £250 or more
having a higher demand for power ok if its manageable, but you should care particularly if we are talking about 500W or more