Why is it not recommended to change the style of the form at runtime?

A note has been added to the Delphi documentation on TCustomForm.FormStyle that says: "It is not recommended to change FormStyle at run time."

I would like to know why it is not practical to change the style of the form at runtime. Is this not recommended in terms of the user interface, or are there some technical problems that may arise? And what problems can arise after changing the form in runtime?

Use case

We would like to improve the multi-monitor support of our MDI application. Currently, all child windows open in the main window (parent MDI window). What users would like is to open / move the child window outside the main window so that the child window is opened as a separate floating window that can be found anywhere on the Windows desktop.

I saw examples of this functionality in Adobe Photoshop, Google Chrome, and Microsoft Internet Explorer. (Tabs can be moved from the tab bar and opened in a separate floating window)