"Not as far as I'm aware. Worst that ever happens to me is sermonizing from people who mistake its aura for mine."
The First Guard, like most armed forces that aspire to legitimacy among the ordinary people they serve and protect, is staffed with as many paladins as they can get their hot little hands on – more paladins than one might think, considering that holy warriors are uncommon and prefer to be affiliated with knightly orders, because both the armies and the knightly orders will bend over backwards to make it happen. The knightly orders do this because they are for the most part funded by taxpayers and know which side their bread is buttered on, and the armies do this because staffing certain crucial positions with paladins reduces corruption to almost nil†, an invaluable tool in any organization. Smite Evil and Lay on Hands are also nice, sometimes.
Gwen has worked with so many paladins that no fewer than six of them have pulled her aside to deliver heartfelt warnings about the horrors of Hell. Four of them were appropriately sheepish after she removed the headband and demonstrated that she was not personally Evil; two theorized that Pharasma might frown on her use of it but were otherwise content to let her be. Gwen doesn't know how seriously to take this warning – none of the paladins in her chain of command have so much as commented on it – but the lure of mental prowess is too strong to ignore. If the headband was made with the spilled blood of innocent magical creatures (a disturbingly likely possibility) she'll put their spirits to rest herself once she's strong enough.
†Eliminating obvious corruption is unreasonably effective at boosting operational efficiency because the art of sophisticated graft is still in its infancy. Techniques for hoodwinking paladins hard enough to get them to sign bad purchase orders are too anachronous to fit in this margin.