There's a discussion of this over on rec.crafts.metalworking, started
by the usual question of "is PVC OK". The concensus is still no,
but a new reason or three have cropped up:
* PVC brittles with age; the plasticizer evaporates over time
* Oil in the compressed air attacks the plasticizer
* Compressed gasses store much more energy than uncompressed liquids,
so failure is much more catastrophics (the "grenade" effect)
* PVC pipe melts in a fire, leading to hazardous conditions for firefighters
This last reason is apparently why it is against many local, business
and OSHA regulations.
It's also a reason not to use copper - the soldered joints may/will
melt in a fire. The failure mode isn't as catastrophic, but it could
result in a pipe jumping around a lot.