In each of the elemental cylinders (i.e. Water Cylinder) I see the text "Remember that using it with a different elemental alchemy may result in negative effects."
Is it there to scare me or is it serious?
Serious.
With a Clay cylinder you lose about 10-20% damage with water cannon. IIRC
And If you dont use a normal or a Wind cylinder. Your wind cannon will NEVER gust them away.