I copied my data to my test server and when rebuilding the key files as a test certain modules look as if they have some issues. Should I rebuild the key files even though I am not receiving errors? As a general question should I be wary of rebuilding key files? Could it potentially cause issues? I would obviously do a backup before rebuilding them. I was hoping maybe TomTarget, BigLouie and others might weigh in with their experiences.

My take on it is that it generally does not hurt to do rebuild keys files periodically, but it isn't mandatory either.  Just make sure you review the log files to see if anything significant happened in the process.
 
In rare occasions I have seen issues that have occurred as a result of a rebuild key file, but since rebuild key files does make backups of the files they can be restored if need be.

The once rare situation has been rebuilding key files on 4.5 and prior in payroll and having some records get deleted out of the payroll earnings/deductions master file. In which case I restored the specific file or manually re-entered the codes that were deleted.