Same exact issues as with the existing cheap AM3+ and FM2+ boards, when 125W or 95W TDP parts are used.
It is matter of reliability, efficiency and performance, mostly.
The CPU cannot reach or sustain it's full performance since the VRM protections will kick-in and force the CPU to reduce it's speed (VRHOT throttling). In the past when the controllers didn't have as advanced protections, the VRM turned into a puff of smoke and usually claimed the CPU as a collateral.
All VRM controllers which are compatible with AM4 have the sufficient protections, so it is unlikely that a excess VRM stress / overheating would cause any permanent damage.
Same way as on the previous AMD platforms (AM3+ & FM2+).
Like I said before, it is entirely possible to build a 3 or 4 phase VRM which is more than sufficient to support a 8C/16T Zeppelin running under full load 24/7. However the thing is that the high-end components you need for such configuration to work are extremely expensive, in relation to the cheaper ones. You can usually build a 16+ phase VRM featuring lower quality components for the same price as a top quality 3-4 phase VRM. If you think that any of the "usual manufacturers" will use even mainstream quality components in their cheap boards, you're pretty delusional. If mainstream quality components would be assigned as "Grade B", the components the cheapest boards from these "usual manufacturers" feature are somewhere between "Grade D" and "Grade G". On top of that they take additional shortcuts, like creating doubled VRM without the proper hardware (connecting phases in parallel, overloading the drivers), skimp in filtering, etc. These people have no issues in lowering the MTBF expectancy of the product by 20% if they can save two cents on each of them. You need to remember that these boards are mostly designed and manufactured in a country where selling fake eggs, concrete filled wallnuts, rice made of plastic and gutter oil are also a common practice. It's harsh and slightly exaggerated, but gives you the idea.