Absolutely none in my experience. And I've used it in every all-grain batch and yeast starter I've ever done.
I poured a couple of my beers (Saison and Stout) over this weekend. I'd set the glass down to watch the game, picked it up again 20 minutes later, still had foam, gave it a little swirl in the glass and increased the foam height. Both beers were somewhat overcarbonated (particularly the stout) for style, which may have also contributed. Regardless, it does not seem that Fermcap-S affects the proteins which contribute to foam nor does it cause it to collapse prematurely.
I don't have a scientific reason why--it does seem counter intuitive, i.e., "if it prevents foaming and boilovers in the yeast starter, boil kettle, or fermentor, then why doesn't it affect beer foam or head retention?" Maybe that'd be a good question to ask "The Wizard" Ashton Lewis--he is a beer foam expert. Perhaps the krausen carries it and deposits it along with the trub ring on the top of the fermentation bucket walls so less ends up in the finished beer. Perhaps the Fermcap-S is temperature-sensitive and drops out with the yeast when crash-chilling the finished beer.
I do know it works when you want it to, and does not affect the beer foam at all.