The biggest burden is that people will probably only notice when something is wrong. The setting and atmosphere, if you're doing fiction without the info-dump, only provide the backdrop, and immersion will die a painful death if somebody uses the word, "Shizzle." Unless it is somehow appropriate for the historical period.
Creative control of the story itself is usually just fine, as long as it doesn't horridly contradict the elements of the backdrop. If you're doing alternate history, then by all means go nuts with the changes.
Think of how awkward a realistic WW:II novel would be if der Fuhrer rode out on the battlefield on a gigantic robot spider. It's the little (or big) things that can kill the experience for a reader, but crap like, "Oh, the sex scenes seemed less puritanical than my uninformed impressions," is silly.
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