Actually, I just tested this about a week ago. I got caught three times down in Shard on purpose. I noticed that my contracts from running caravan routes dropped around 5-20%. Though I'd have to do more testing to get some numbers, which i'm not sure I'd like to try.
Also, gem pouch selling was affected. I have been running tests on our bonus here (Think I know how it works for the most part now, and will be posting results in a few days). Seems to hurt your "reputation," lowering your Charisma.
Other than that, found no adverse effects. I was able to circle, rent tables, and all the rest of stuff we can use.
And if you are going to start, remember just to steal those items you know you can get once or twice. Flight glue, water and charcoal make nice starting items. Make sure you have no wounds. Do not wear any type of armor. Keep your encumbrance at lowest possible level. They say the timer on a shop is 10-15 minutes?? I usually make it 20 to be sure.
