A fundamental fact is the more you manipulate a biological chemical, the more risk you have of degrading it. Either by oxidation in the air, temperature effects, or reaction to the pH of the medium or the eluents needed. You also could definitely be purifying out a co-factor, or concentrating an inhibitor, or encouraging the protein to bind to itself, blocking it's own active site. You don't have to do any step that you think may be the cause of a problem. There's certainly a value in trying to make a guess about the structure of your protein, and selecting which purification methods to include or exclude based on that. If you guess wrong, you've at least excluded something.