There's nothing outright bad about it, but it is a directory that needs admin privileges to modify the files within. As such it's a bad place to store files that need to be modify or folders where files will be added and removed with some regularity.
With the introduction of UAC, which implements the http://en.wikipedia.org/wiki/Principle_of_least_privilege on Windows, the problem was made much more apparent, as Admin users weren't able to modify the contents of the folder without UAC escalation. Also, programs not ran as admin would have file writes redirected to VirtualStore.
So with the implementation of UAC, it's a bad place to put games in there that have files in need of modification in there.
That's a protected directory. However, it's the way Microsoft recommends that games store their saves so it works for saves in most cases.
It's a user-protected directory. Any program launched by the related user has full permissions to it, so it's no problem for any program to write to it.
VirtualStore is also a user-protected directory, which is why programs ran as non-admin have their %programfiles% modifications redirected to it.
Microsoft doesn't care about programs modifying user protected directories, only system protected directories.