IIRC the only warning in my manual was to be careful when drilling holes so you don't hit wiring. What does your manual say?
The best and final source for warranty questions is Flagstaff so you may want to call them directly. I don't believe that you would void any warranty with regards to the structural integrity of the wall but, if there was a leak in that area, I imagine that you run the risk they point to your mod as the culprit.
Personally, I think mods like this are part of the fun of owning a trailer. I would do the mod and trust that my workmanship would be sufficient to avoid problems. Do the best you can to check for wires and caulk those lights like crazy.
DW, 3 Kids and our Goldens
2012 Shamrock 233S
2008 Toyota Sequoia 5.7L 4WD