Cortisol is the hormone that is mimicked by dexamethasone.
One of features of high doses of steroids, recognised since the 1950s is immune suppression.
Other complications exist...
Long-term glucocorticoid use affects bone health, fat distribution and may cause cataracts and hypertension.
People who lack normal adrenal function may receive steroid replacement (Addison's syndrome, congenital adrenal hyperplasia etc.)