The use of machine learning to estimate the energy of a group of atoms, and the forces that drive them to more stable configurations, have revolutionized the fields of computational chemistry and materials discovery. In this domain, rigorous enforcement of symmetry and conservation laws has traditionally been considered essential. For this reason, interatomic forces are usually computed as the derivatives of the potential energy, ensuring energy conservation. Several recent works have questioned this physically-constrained approach, suggesting that using the forces as explicit learning targets yields a better trade-off between accuracy and computational efficiency - and that energy conservation can be learned during training. The present work investigates the applicability of such non-conservative models in microscopic simulations. We identify and demonstrate several fundamental issues, from ill-defined convergence of geometry optimization to instability in various types of molecular dynamics. Contrary to the case of rotational symmetry, lack of energy conservation is hard to learn, control, and correct. The best approach to exploit the acceleration afforded by direct force evaluation might be to use it in tandem with a conservative model, reducing - rather than eliminating - the additional cost of backpropagation, but avoiding most of the pathological behavior associated with non-conservative forces.