Like Shooter said, the reason Glock placed the disclaimer about shooting reloads is because they have no control over the way the ammo was reloaded, and that ammo may produce pressures so great they can damage the pistol. All factory ammo must comply with a set of standards set by SAAMI (Sporting Arms and Ammunitions Manufacturers Institute), and ammo made to SAAMI specs can be expected to function the weapon properly.
I for one, am an avid reloader, and I know for a fact that the ammo I make is safe for the guns I shoot. I cannot say the same for ammo that is reloaded by someone else, and I do not expect others to simply accept that my ammo is within spec. It is not a rude assumption to make, for me of them or them of me, it is simply exercising an abundance of caution. Ammo is cheap compared to the cost of a blown-up gun and injured shooter.
The biggest REAL concern in reloaded ammo is overpressures: too much gun powder, or too tight a crimp, or a bullet seated too far into the case, can cause overpressures sufficient to blow up a gun. Easy mistake to make, painful consequences to suffer.
Now, a lot of reloaders use plain lead bullets (no copper jacket), since you can make these bullets at home, too! The problem is, the geometry of the riflings in Glock barrels (unique in the firearm world) is such that lead can easily coat the inside of the barrel. Eventually, there will be so much "cladding" that the actual diameter of the bore is affected, resulting in excess friction with the bullet, causing overpressure.
Like Shooter said, many Glock reloaders use lead ammo in their reloads, and fire them in their Glocks, and this can be done by installing an aftermarket barrel (such as Lone Wolf, KKM, or Bar-Sto) that will allow the use of lead bullets. Whether the barrel is replaced or not, shooting lead thru a Glock, although inadvisable, is possible as long as the bore is thoroughly cleaned with a lead solvent after each session.
The disclaimer in the manual is Glock's way of saying: we wouldn't recommend it on general principles, so if you do it anyway and mess up, we can't be held responsible or liable.
For what it's worth, I have fired over 10,000 rounds of reloaded ammo thru my G26 (and over 5,000 thru my G30), all of it my own reloads, without any issues.
Would I buy and/or use someone else's reloaded ammo? No. Not unless it was factory reloaded (as opposed to home-made).
Does that make sense?
Hope it helps.