I don't think this kind of "alternate lifetime" is analogous to the holodeck. It's not physically experiencing an alternate reality at all; it's just a memory implant. For that reason, there should be no physical effects--harmful or otherwise--unless the implanting procedure itself causes direct physical harm.
The only likely damage I can foresee is with possible psychological issues from carrying around multiple totally authentic but contradictory versions of what one remembers of any given time frame in one's life.
Career prospects for someone addicted to this type of "entertainment" might take a major hit, too. A lifetime of memories--implanted or not--has a major effect on one's beliefs and sensibilities. Not many people would want to have to depend on someone whose entire philosophy of life is prone to changing overnight.