They can break CDNs that rely on you using your provider's ones to know where you are, and work effectively.
Why using Google DNS / OpenDNS is a bad idea - APC
Centric IT » Why NOT to use Google’s DNS and similar
They will think they're on the country your custom DNSs are and serve content from there, which is a less-efficient path.
After finding those articles yesterday night, I did some small testing - ran a traceroute to www.example.com.nyud.net (which is example.com on the Coral CDN), using DNSResolvers, which are located in Canada. The final host in the chain was in that same country. I flushed my cache, switched to my ISP's servers and did the same thing: the path was shorter and ended in Brazil, a neighboring country.
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