I doubt it, since it simply makes the fluid go the wrong way. Catheters don't seem to cause damage when they're pushed into the bladder.
I am not seeing how retrograde ejaculation and extending your sex play relate, since it is an ejaculation either way. If it is a matter of not otherwise using birth control this method is definitely not 100%. There will be leakage into the urethra.
So on to your question. The side effects are possible damage to the prostate, damage to your bladder nerves, or damage to your bladder muscle. It is your bladder muscle that controls when you urinate and of course it is your prostate that initiates your ejaculation. So damaging either is not a good thing for you going forward.