I only heard that if you caught it, weird glitches will cripple your game. Either your game will become corrupt, or things like all your Pokemon becoming Rattata's.

It really depends. I actually have had my Red game reset on me when I had a Missing No. and was fooling around. I don't remember what I was doing, but I think I might have tried to use rare candy on it. Maybe I stored it in the PC... . At any rate, my game froze and when I turned it back on my save file had been corrupted. I had to start over. It is also noteworthy that there are different variants of the Missing No. data depending on what you named your character.