It's a problem because it's very specifically forbidden by all poker rooms. There's numerous reasons for that, some already mentioned, some not. One that comes to mind is it being unfair on people who play against you with notes/conceptions of your play etc, based on someone else. Another is frequent player bonuses etc when you get double time on play-through. Even without reason, it's a problem just because it's forbidden. Ages ago when I was kinda not aware of what a big deal this was, I logged onto my friends account on a prima site from my house, playing like 5c/10c or something, with him sitting next to me, to show him how to play. Totally harmless I thought, but ever since we've never been able to sit at the same table together, regardless of where we connect from, anywhere on the prima network, the software prevents it.
Also, you'll likely find when you try and open your own accounts on the same sites, that due to you logging on from the same IP on your friends account, they either won't let you open an account, or will freeze a new account and your funds with it. I'd suggest, if you do open a new account successfully, before playing you contact CS and advise them of your situation, and get their ok to deposit and play. Don't mean to be alarmist, nor am I suggesting you're exactly doing anything unethical as you didn't seem to be fully aware of the status of this kind of thing - but it's strictly prohibited and poker sites invest huge amounts of money into detecting and policing this stuff.
"Morality is not the doctrine of how we may make ourselves happy, but how we may make ourselves worthy of happiness." - Immanuel Kant
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