My only real problem with them was that they seemed REALLY loud in comparison with the rest of the video. It really startled me and I had to try and anticipate when you'd be shooting again so I could turn down my sound.
But aside from the volume issues I think it adds to the immersion. The in-game sounds are kinda tinny and faded which is fine if you're playing the game yourself, but it's a bit "unreal" for a show.