To my knowledge, there has never been an instance where a secondary payload has damaged a primary payload, at least that is proven and publicly known.
Oftentimes secondary payloads are of lower quality than primary payloads, and issues with the secondary payloads do have the potential to damage the primary payloads. The cost of these secondary payloads is significantly less than a primary payload. The customer who is paying the most isn't going to want any risk to their payload that costs hundreds of millions of dollars when there is a payload in the cost of maybe $10 million. There are a multitude of ways these can cause issues, one of the more common one shows up in the "Coupled Load Analysis", where the loads on the spacecraft are studied for any potential issues, usually in some kind of a simulation. This looks for resonance frequencies with the entire system, and can often spot problems that need to be resolved prior to a launch that aren't seen with a single satellite. The failed launch of resupplies in "The Martian" could have been prevented with a good coupled load analysis being performed prior to launch.
In effect, this is similar to the "Big boat rule", which simply states "Big Boats rule" when it comes to right of way issues. It isn't strictly required, but you aren't going to risk something that costs hundreds of millions or even billions for something that cost a million or less, no matter how small that risk might be.