Many devices are designed in a manner that will store energy during part of each AC cycle and return some energy to the line during a later part. If the line voltage waveform is sinusoidal, energy can flow smoothly back and forth. If the line voltage is a "modified sine wave", however, this process will often be rather "jerky".
For example, if one connects a capacitor across a 60Hz power main that is driven with a sinusoid voltage wave form, the capacitor will hold maximum energy at the positive and negative voltage peaks, and zero energy when the voltage is zero. It will take 1/240 of a second for the capacitor to fill up, and another 1/240 of a second for it to discharge. The maximum power when driven using a sinusoidal waveform will match what would have been required to transfer the energy in about 1/376 second (1/240 times 2/π), but that's less than a factor of two over the waveform that would minimize the maximum power rate.
If, however, the capacitor were driven solidly with a typical "modified sine wave", then the capacitor would sit with zero energy for awhile, then almost instantaneously be charged, then sit at maximum energy for awhile, then get almost instantaneously discharged, etc. During the charge and discharge cycles, the capacitor would likely attempt to supply or return as much power as the mains supply and caps could handle, which--unless the mains supply is very wimpy--would be far in excess of what would have happened using a sinusoidal waveform, and would likely be high enough to cause severe stress on the mains supply, cap, or both. Additionally, such high peak currents may cause devices like transformers to "whine" audibly.