Well, if taking enough caffeine in combination with various fat loss supplements, one could potentially experience acute side effects such as increased heart rate, blood pressure, nausea, vomiting, anxiety, tremor, arrhythmias, palpitations, flushing, GI disturbances, etc., and yes, one could even die. Although, to be honest, the likelihood of dying, except for perhaps extreme overdoses, is unlikely.
What type of side effects really depends upon the compounds in the product you're talking about.
While I can't speak for others, with HOT-ROX, while there aren't any known long term side effects, I think it's always a good idea to take breaks from any supplement, including HOT-ROX. For one, it would be ridiculous to assume that we know everything there is to know about human physiology at this date and time, and that 5 or 10 or 20 years of nonstop use won't have adverse effects. Secondly, any supplement should have designated times for use, otherwise, as you've probably seen, they become a crutch.
So, while HOT-ROX can be used for prolonged periods of time, it's important that it not be used every single day of the year, year after year.
Ideally you would be able to use fat loss supplements for short periods of time during the year (25% or less) when you really need to reduce fat mass. For the time being, however, I'd recommend at least trying not to use them for more than 75% or the year.
Hope this helps.