There are some potential problems with coilover sleeves. These do not manifest with every single coilover sleeve ever, but they have been known to happen (even more with the cheaper sleeves).
The sleeve that goes over the shock is designed as a universal fit. This means that it isn't as good a fit as it could be and sometimes causes rattling, popping, and other noises, as well as increases the amount of "play" in the suspension. Also, there are some problems with the springs from the sleeves coming off the top hat when the suspension is at full droop, which would only happen during a hard turn at higher speed, and will cause a moment or two of instability which can result in a spin. Some of the cheaper coilover sleeves have also had the locking ring that holds the bottom perch for the spring break, which as you can imagine is not a good thing, especially if the car is moving. Lastly, coilover sleeves tend to be very stiff, which decreases ride comfort and on bumpier roads softer springs are better. Super stiff springs are only good on smooth roads like race tracks, a softer spring is better on the street because it is bumpier. A stiff spring will not keep the tires in contact with the road (but this would happen if you got really stiff springs and shocks, it's just that coilover sleeves are usually stiffer than good springs).
There's a lot to it, but those are the highlights. I hope this helps.