It's not harmful for your HVAC system; more importantly, it's harmful to you. (same goes for any chemical scent)
There's too much crap in indoor air as it is; if you need some chemical "air freshener", indoor air quality is an issue which needs to be addressed.
Furnaces are designed to heat the air, not clean it or add chemicals.
[Edited by amd on 10-25-2005 at 12:52 AM]