I don't mean the acme screw and nut, as they should be immune from any ill effects. My Atlas has small gibs, and the knurling force tends to try and rock the compound on its dovetail and the gibs and gib screws take all the force. This universally leaves them loose afterwards - at least it does for me. Same thing happens when I part off. Turning the compound perpendicular to the workpiece makes a big difference.
I suspect this may be a problem on most
small lathes (Sherline, Sieg, etc) and larger poor rigidity lathes like my Atlas.
All in all, as a generality, I'd say that bump knurling should be reserved for larger machines, but if it works for you then by all means it doesn't justify the expense of a straddle knurling tool. I use a bump knurler myself but also know that the Atlas doesn't like it much - you can actually see the cross slide moving in its dovetail. Tightening the gib to eliminate this works, but makes the cross slide virtually immovable afterwards.
Then again, I'm passing judgement based on an Atlas which is a known flexible flyer. Our Monarchs here at work bump knurl with no issues at all. Tonight I'll knurl something up on my Grizzly - I suspect it will be problem free.
By the way, I've started using convex, diametral pitch knurls (as opposed to circular pitch). These things are a dream! The convex knurl is terrific and the Atlas doesn't "complain" nearly as much as they require less force and are designed to be axially fed. They're expensive, but you'll have a set for a lifetime in an HSM environment. I bought the 64 DP set - the ANSI "recommended" 96 DP knurls are too fine for my tastes.
The convex 64 DP knurls also track without "mashing" on diameters in 1/64" increments. Here's what I use:
Accu-Trak Convex knurls 3/4x3/8x1/4
John