PMs promised the business X would get done because it was great. Now they have to explain developer Y didn't deliver that. Disappointment ensues and PM has to sell rogue work as also great (so why wasn't it planned instead of the other less great thing).
As someone already said, it's a thankless job and I empathize.
If your "going rogue" project fails, then you can be seen as not having done any work for X weeks. If your manager was against you working on that project--especially if they needed you to work on something else--then you will be seen poorly, and that can be rough for your career.
