Plainly speaking, the conversion you're looking to make in this case is one from digital to an analog signal, as the HDMI cable sends signals out (or receives them) in digital form and the component cable does the same thing in analog form. So then, what are some of the problems associated with such a conversion?
1. The signal being digital is much more lossless and crisp than the analog signal because the transmission across the wire in 1s and 0s is much more accurate than the analog transmission at the same resolution assuming all else being equal.
2. In converting the signal, the loss in video quality might be barely noticeable for all but the most discerning eyes, however, the loss in audio quality usually is pretty noticeable especially because the integrated audio signal in the HDMI is then being split out into a cable.
3. Compatibility is often an issue. In the best of cases, your HDMI to component converter will work with 99.9% of all devices out there. But as a simple search on Amazon can reveal, in the worst of cases, your converter will fall flat when it comes to every kind of device.