While I have not yet installed NETMF and/or Gadgeteer on Windows 8 RTM, I have been running these (with Visual Studio 2010) on the Windows 8 Release Preview for weeks with no issues at all.
The only gotcha I encountered was during installation, when trying to run the GHI installer package. Because this isn’t a frequently-downloaded file, Windows’ SmartScreen filtering warns that it may be dangerous, and it isn’t immediately apparent how to get around this.
If you attempt to install the GHI NETMF and .NET Gadgeteer package, and you see a screen that says “Windows protected your PC”, click the “More info” link, which will give you the option to run the setup executable anyway. IIRC, this warning shows up several times during the setup process, so you may have to do this more than once.
Don’t get in the habit of bypassing the SmartScreen warning without thinking through things. The usual cautions about only running code that you know you can trust apply.
Not likely at all, I don’t think. SmartScreen (to my knowledge) doesn’t modify anything. It just consults a list of known malware, and commonly-downloaded files, and warns the user if a file being downloaded is either on the known list of malware, or if it’s not on that list, and also isn’t on the list of commonly-downloaded files (different warnings, of course).