Would depend on the size of the waterfall(s).
A little one pouring into a lagoon is not going to be an issue. Niagara falls on the other hand, is an issue.
But that was just for going over the falls. Depending on what the terrain near the fall is like will also depend on how lethal it is.
As far as doing damage, going under a fall would be more like suffering non-lethal damage for a tough D&D PC.
As much as waterfalls are concerned, I think you need only indicate them as difficult terrain and as potential areas for concealment and cover.