At a technical level, playing on emulators, and using external modification devices and software, regardless if it is PKHeX or GameShark/Action Replay,
removes legitimacy and authenticity of the game save and data within it.
(Which is one reason why many people rather use glitches as opposed to save editing)
You Pokemon will be at best legal. (not legitimate. though people like Verlis will out right say you're hacking, which he isn't wrong)
Anyhow,
for Gen III and Gen IV Pokemon, it's no biggie, if you're using PKHeX to give items, increase EVs, change moves, (not touch stats basically)
however the big problem arises, if you want to meddle with anything PID related, such as, and not limited to:
PID
Shininess
Gender
IVs
Ability
Nature
That's right, in Gen III and IV, Pokemon have "PID-IV" correlation,
and anything above can be traced to PID and RNG calls.
While PKHeX doesn't check PID-IV correlation,
there are other tools out there that can, such as Pokegen and RNG Reporter.
I think Gen V doesn't have PID correlation (?), and I stand to be corrected.
EVEN WITH ALL ABOVE SAID,
PKHeX is still the preferred method of editing, since everything else is simplified,
and has built in hack checker, for other things such as locations, moves, etc.
I'll rather you catch a Pokemon and do minor edits, rather than make one from scratch.