It shouldn't. Your splash screen may get changed but the system will certainly not go crazy. Even if several applications of the same kind will be installed, ex. file managers, Nautilus will still be the default in Unity, Dolphin in KDE, Thunar in Xfce, etc. They handle their settings separately for the most part. I would recommend care with LXDE and KDE GTK settings though, as they modify some cross-environment configuration. Also, you can always uninstall the Desktop Environments later.
If you want some applications to appear only in selected DEs you can do it by modifying their desktop entries. To do this make a copy of the desired desktop entry(copy the appropriate .desktop file from /usr/share/applications to ~/.local/share/applications) and modify/add the following line:
Leave only the desired desktop environments. If you want an app to appear only in Xfce it would look like this: