There are factors that can affect this including the quality of the plastic, paint protecting the plastic, the water temp used and the figure's exposure to other environmental hazards.
The effect won't be immediate, but within 15-20 years the polymers will begin to break down at a much faster rate than they would have before the heating by water. Of course things like UV radiation (sunlight) speed this process up as well. Even exposure to oxygen begins the slow process of the molecular breakdown of the plastic. Boiling it just speeds this up.
Aside from that, the hair dryer allows a constant and regulated temperature to be applied at all times, allowing careful spot application of the heat for as long of a duration as you choose. No heating and reheating of water until the limb gets soft enough. Or if you have to re-try, it's as fast as flicking a switch and putting the hot air "beam" onto the stubborn area.
With water you need to heat it up enough so even as it cools down it retains enough heat to give the plastic enough time to soften, and as a result, the initial "plunge" into the hot water is exposure to heat levels that the plastic should not be exposed to.
I always have this rule: Pots of hot water are for cooking food and burning hands; hairdryers are for making managable hair and popping off action figure limbs.
Are there any real immediate cons to the boil and pop method? No. But there are long-term effects that may occur. Plus the hairdryer is just so much more precise and convienient.
After years and years of using the boil-n pop method and getting left with frustration, the hairdryer method is a godsend. I'lve loosened and popped of parts I would have thought impossible. I don't mean to come down so hard on the boil and pop method, but I just cannot sell the benifits of the hairdryer enough. Seriously, it's changed the way I customize and eliminated alot of frustration.