The good news is that there are none!
The bad news is that it is possible to permanently damage your ass hole, sphincter, and perhaps even the prostate. But if you apply sanity to your plugging and don't violently force a huge plug, fist, or other object into your rectum, the resilience of the marvelous body will return to normal with discontinued use.
There is a pastor (whom I call "Pastor Poop Chute") who likes to go on the religious talk shows and claim that gay men eventually become incontinent and have to wear diapers. Yes, there may be some men (gay or straight) who get so reckless with their rectums that they do permanent damage. None of us need to be that man, and we can engage in delicious anal play from now until we grow old and never damage the rectum, sphincter, or prostate.
Other than possible damage (through reckless and violent plugging) to the butt hole that I've just talked about, I can think of no other issue regarding long-term plugging. I'm not an expert, by any means, but my own experience tells me that plugging, rather than being dangerous, is healthy, precisely because the body is best treated when exercised, from the muscles to frequent milking of the prostate, to keeping the sphincter active. A sedentary lifestyle will cause much more temporary damage (in the way of hemorrhoid) than using a butt plug to keep the sphincter exercised.
Okay, here’s one for heterosexual men and their GFs. Nice!
GF wakes me up by destroying my asshole powered by XTube