No effect at all. If you are irritated by an accordIng Steam message, you can safely ignore that. Might be true for Steam’s 2D VR theater (I don’t know that though), it’s certainly not the case for vorpX.
When VR ‘direct mode’ (i.e. headsets not acting as second monitor anymore) was originally introduced during the Rift DK2 phase vorpX actually did skip the monitor display per default originally. Later this was reverted since it didn’t really improve anything but instead caused unwanted side effects in a couple of games.