As Alipes says they are just sand paper in their own way - so they are not laying down anything on the pony just removing the surface.
I imagine the only thing which may happen after a very extended time is if a pony is fading the fade may be a bit patchy as the surface of the plastic is different. But as none of us are out there deliberately trying to fade the colour out of a pony I dont think it would ever be anything to worry about. And it would probably be so minimal, if at all, that you would not notice it.