They are not dangerous if you know what you are doing. They are a bit harder though. The main thing that springs to mind is when you stop with a tailwind you are flying backwards. You may find you are caught out by weathercocking and end up inadvertantly rotating
You only have a rate of descent when descending and you should not do that until the quickstop is finished.
edit: Oh yes, I THINK the tailrotor consumes more power holding the tail into wind but I have never noticed it as a practical effect. I spend more time looking outside when hovering downwind than examining MAP gauge for small changes.
edit again. I just read one of Nicks post and he says it doesnt.