mostly its when used in direct drive unregulated stuff.
like say for an example, a DD 1W lux light was using three AAA cells, which sag and can barely drive the thing even though its a stated (4.5v) voltage far over the specs of the led. the alkalines would never kill it.
but then you stuff into that 3 fully ready to go Lithium AAA primaries and start running it nonstop. pumping a good 1Amps + into the led.
there are even "modern" lights that would fall under that realm.
or in very poorly regulated stuff, that is already at tight bright specs with the intended alkaline cell.
all the descent manufactures are attempting to list the possibilities for the type of cell the units will use.
there is also a Wiki chart that has some user tested information in it.
when in doubt Burn it out
another good example is there was some 3AA long stick led lights , that were poorly regulated, and driving the led just fine when using alkalines (sagging in voltage) and putting lithium in them would have run the led hot, reducing it total life, but still living long enough for people who replace things each week with a new one. it could have reduced the life to about 100-300 hours for the led, IF it was always run that way.
here is another example
http://www.dealextreme.com/details.dx/sku.4862
check out the USERS amp testing in reviews, of this REBEL led. bet you stuff a lithium in there and things wont go well.
its already driving pretty hard.
of course THERE you dont see them recommending a 1.7V MAX battery , just a 1.2 or 1.5