Quite simple really, and quite obvious at the same time.
With finance, PCP or Lease, you do not own the car till you pay for it in full. So by modding a car on such deals, means you are modifying someone else's car. If that person (Finance company) finds out, they are not going to be very happy. Hence why they might look to recover the car, and cancel your finance agreement.
I suppose they could sue you too, as the value of the car has potentially dropped, as a modified or post-modified car may not be resalable within a dealer network.
And lets say the engine goes pop, and the dealer says your warranty is void. Then the finance company is going to make you pay for the entire car, or sue you.
At the end of the day, to mod or not to mod is each persons choice. Most get away with it, but some won't. As long as you are prepared financially to pay the consequences if it all goes wrong, then so be it.
The main thing I don't agree with is people modding their cars while on PCP, then de-modding just before handing the car back. The next owner then runs the risk of having a car with excessive wear & tear on some major parts, that if they do fail, then get stuck with a potential big bill. Or the warranty they thought they had is void. But, that's the car world. People will always get stung. The only way to guarantee not getting stung, is to buy new.