Sharing devices often, perhaps even usually, isn't a problem.
There are some circumstances, though, where it should be avoided.
An example is if you intend to take backups using the QUIESCE or PREPARE DATABASE technique
where you backup the database by making a copy of the underlying devices.
Another situation to avoid is having multiple very active databases sharing devices when you could spread
that I/o out among other devices.
Yet another consideration is the number of databases you have to recover if a single device goes bad.

-bret