There are all sorts of things that are meant to happen during sleep, around learning and similar, that are unlikely to be feasible while you're lucid dreaming, so it might impede learning skills, for example.

When I did extensive lucid dreaming I found my brain was making my dreams more and more boring, I'd guess to reduce the chances of me noticing that I was dreaming.

Nowadays, I retain an awareness of when I'm dreaming, and I interrupt dreams when I'm especially fascinated by something in them or don't like them, but I otherwise let them run their course and don't take control.