Good points, that people here really should take into a account. While I may try to explain my response to this, I would mostly end up quoting a source that explains it a great better that I would be able to: https://docs.google.com/document/d/17iiFxZ9PYXXxSqWHdU2YoPsGfJr90w8aIG_evqc1wiY/edit .
This is indeed a lifelong commitment and should thus not be treated frivolously, nor for the wrong reasons, and while we all do enjoy ponies now, our interests may change down the road or have a certain fandom or other such thing replace the affection felt toward ponies, potentially causing some ill affect on the relationship. It may be better to at least create a form that will have definite staying power into the future. While this is not necessarily a separate physical being, the process of having to destroy one is nonetheless traumatizing for the "host" that created it, as it seems to be hard to differentiate a being of the subconscious from reality.
Most definitely a tulpa should not be attempted in order to fulfill any sexual desires or to replace physical relationships, as this will surely inhibit any future relationships or social capacity for the person doing so, as a tulpa is often described as a "perfect friend" or even "a perfect mate." Having such an experience (especially if it is the first) will create an unattainable standard for the host and will then have a negative impact on their life.
It may not be in the best interests for many people to have a sexual relationship with a mental construct, as it can in fact cause some emotional or mental consequences as a result and may indeed be desired to replace physical relationships. This is not to say that that may be the only drawback from such a relationship, as of course there is the possibility for many others, however, my knowledge of psychology is minimal.
It is important to remember that this process was originally documented being done by Buddhist monks after years of meditation (unintentially at that), and while it was beneficial for them, their reasons for creating this construct were much different than ours. If done incorrectly or unhealthily (which all depends upon the person; even a romantic relationship may prove healthy depending on the individual, albeit it much more rare) this phenomena could indeed prove to be a negative impact on a person's life.
Of course this would all depend on some philosophical questions as to what is truly important in life that I don't even want to being to think about, such as whether or not it would be acceptable to withdraw from life to live in what is essentially a fantasy land, after all you would be happy there. For example, if an individual neglected to make any friends or have a relationship in real life, choosing instead to devote all of their free time to the internet and or video games, is that a bad thing if they are happy with their life?
I don't have any opinion on the aforementioned questions because it is easier not to.
EDIT: the term "deviation" is mostly used to denote changes beyond the host's conscious control, making a "pony deviation" not from the choice of the host and instead a desire by the subconscious.