The main thing that I know of is the session timeout, as per the app/config/core.php comments, in that your session timeout will be multiplied by a lower number.
The book backs this up,
The level of CakePHP security. The session timeout time defined in 'Session.timeout' is multiplied according to the settings here.
Valid values:
'high' = x 10
'medium' = x 100
'low' = x 300
'high' and 'medium' also enable session.referer_check
CakePHP session IDs are also regenerated between requests if 'Security.level' is set to 'high'.
Ref: http://book.cakephp.org/view/44/CakePHP-Core-Configuration-Variables
So the other thing looks to be the referrer checking.
session.referer_check contains the substring you want to check each HTTP Referer for. If the Referer was sent by the client and the substring was not found, the embedded session id will be marked as invalid. Defaults to the empty string.
So the looks of it, the things you are lose are the ability to accuratly determine who and which sessions you are dealing with.
I ran into a similar problem with losing sessions and many answers pointed to using $this->requestAction() as it will basically curl a request out of the app, so it can look like another session being created with a high security.
The other thing that many google answers threw up was turning off Session.checkAgent in your app/config/core.php as that meant the session would not be checked. This at least prevented me from losing the session information between page requests.
:)