Yes.
Poison and parasites and general health are those issues. Domestically raised animals haven't likely eaten rat bait before being fed (and you wouldn't know until the rat/mouse was dead), and sure as heck aren't carrying the load of parasites a wild caught animal will be. Most (WC rodents) have parasites of some variety.
You could sort of get around this by keeping them for a week or to make sure they haven't ingested rat poison so, then pre-killing and freezing for at least a week yourself to kill off any parasites, but at that point you're saving nothing - including time, money, or effort. You also risk exposing yourself to hantavirus in the meanwhile. There's also a question of whether your freezer's 'frozen' is anywhere near cold enough to actually kill off the parasites they will carrying.
Bad. Plan.
Go get some petstore mice and breed if you want to go that route. If you don't, just bulk buy frozen online once every six months or so.