Yup, and there's the same issue with using these on internal combustion automobile or truck exhausts - the density change of increased cooling could might change the back pressure/suction at the exhaust port and reduce the engine efficiency. It would surely be a consideration on highly tuned race motors, but I have no idea if the magnitude of the effect would be even noticeable on street cars & trucks. It is certainly fairly small, as you can drive through a puddle that soaks the exhaust and billows out clouds of steam, sucking out far more heat vs this thermoelectric system, and the engine doesn't even notice.

So, sure if you did it naively, without checking & compensating for secondary effects, you might have a net problem. But I'd be highly confidant that a bit of R&D and engineering design changes would easily take care of it.