Hmm. I'm not sure what you mean by side effects here, but I'm going to say that empathy helps underline that a body and a dæmon are the same person.

There's a scene in Once Upon A Time In The North where mid-conversation Lee starts to propose a wager and his dæmon gives him a bite on the hand and scolds him. No betting! If Reira was there she'd be able to tell that this wasn't a scene with one person preventing another from gambling, this was Lee wanting to gamble and holding himself in check because he knows he doesn't have the resources to lose.