Well, the mage spell "self immolate" and "explode" both deal fire damage to the caster.
The elemental shields make you weak to certain elements.
LOTS of spells give you warm/chilled, which if you aren't careful will set you on fire or freeze you, even ignoring the penalty they give to your resistances.
Enrage drastically reduces your chance to hit and armor.
Lots of spells/abilities have downsides, and quite often the tooltip doesn't give you the whole picture.
By the time I got phoenix dive, my warriors were so tanky that being on fire didn't particularly bother me. I don't really consider it much of a drawback.
