The key thing to remember is that AirWave is very disk I/O intensive. Reads are most expensive, followed by writes.
You typically won't lose support if you install 3rd party software, but there is known risk/reward factors. By risk/reward, it depends on the nature of the software. Does the software take a lot of resources to run? Where does it save files? Is it going to impact disk I/O? For the backup utility: is it a raw backup or is it trying to simulate the same database environment?
RE: backup utility: everything you really need to bring back an AMP after failure is in /var/airwave-backup. What will the 3rd party backup do for you that's not already included in the airwave-backup files? Many customers run a script to SCP (and rename) airwave-backups to a storage server.
In general, if there's a SAN or SSD drives then there's a better chance of surviving any disk I/O impact. But many VM setups and SAS drives can dip too low, costing data (observed as dips in graphs). If the software runs occasionally, then you may see dips in graphs during times when they are heavily running. If the software runs heavily during scheduled periods, then you can possibly isolate to have it run during periods where load is lightest.
Any 3rd party installs should be mentioned if you ever open a case regarding AMP performance.