I use skin tac to hold my CGM sensor onto my skin, its an additional adhesive, I would think it would have a worse effect on your skin (if it reacts) than not using it. I would not use it for an infusion set as these are only on for 2-3 days in any case and do not need more adhesive.
I do not get too many red marks from infusion sets, but always get red marks when I remove my CGM sensor after using skin tac.