Yes, it is bad. Once you get to the point where you are getting warnings for a lack of remaining disk space you are definitely seeing MUCH lower performance than when there is ample disk space available AND you can end up getting into a position where you being seeing a variety of errors and other problems, including in some cases possibly some corruption of the drive or early failure given the right circumstances.
For a non OS drive though, it's mostly just a warning, but it will still slow the drive down and since game saves etc. will still be written to the drive, as well as the OS potentially using the drive for virtual memory unless it is disabled for that drive in the advanced system settings, you could still end up getting errors when it gets too low. You really never want to see a drive filled beyond at least about 15-20% free space remaining, at the most.