This is common belief and even a dire warning when filing TAC tickets. However, unless the third-party SFP is the prime suspect, I have never experienced a TAC from any major networking vendor[1] refuse support, let alone "laugh and hang up," even metaphorically.
It's good SOP to keep at least a couple SFPs for each networking manufacturer on the shelf, but third-party SFPs are normally in the ballpark of 10% of the cost of OEM and tend to be manufactured better[2].
1. Mostly Cisco, Juniper, HPE, Fortinet
2. I've had a far greater failure rate on OEM SFPs than SFPs from third-parties like Fs.com and USCritical. That and they feel much less flimsy than OEM.