Of course with research chemicals the effects are widely unknown, because they are research chemicals. Great care should be taken when administering yourself such a substance. Not because they are synthetic but because the side effects are widely unknown.
The same would apply to any new potentially psychoactive substance found in nature. Let's say an organic chemist discovered a compound in some species of fungus -natural but never before encountered- that he believed could be hallucinogenic. If he wanted to give it a try I doubt very much he would say to himself "Well it is natural it must be safe" and trip there and then.