No, no problems usually, but your executable may become larger than necessary and the compile time may be longer.
jwaWindows pulls in all jwa* units in the compile. It is basically an almost empty unit, but with a very long uses clause.
But as I wrote, if I can't find a specific windows unit fast enough, I do simply uses jwaWindows...
If you are not a professional programmer it really does not matter too much.
In that case you have my blessing to use it.
There is one point you need to realize: many declarations in jwaWindows differ from the declarations in fpc's windows units. They are actually much better imnsho:fpc's windows units are pointer oriented, whereas jwaWindows uses var for parameters that can not be nil.(i.e. pascalify them properly)
If you, like me, prefer that, you will need to find out what particular jwa unit is used and include those instead of all of them, which is what jwaWindows does.
If that makes sense to you.