Cortisone shot side-effect

There has been mention of getting an allergy shot in earlier posts. Cortisone shots, as my doctor explained to me, can cause muscle tissue to break down and cause a depression in the spot where the shot was administered. Usually the shot is given directly into the muscle with a long needle, but if it's too close to the surface of the skin this depression will happen. Does anyone know any more about this? Is it simply a cosmetic problem or will it cause other problems?