It's a long time since I worked in the field of gynaecology, so this may not be much help, but the only negative I can think of is if a person has HIV or any of the other communicable diseases, then being in contact with menstrual blood could pose a risk of transmitting that disease.

It was once thought the woman was more in danger of cervical cancer if they had intercourse during their period, but I read somewhere that was never proven. Please don't quote me on that because I don't remember where I read it.

Although messy, many women enjoy a greater response at this time, infact many women find that orgasm during menstruation actually alleviates the cramps that often accompany it.