When Intel says they only support up to 2400MHz, this means that they only validate only up to 2400MHz and this will not warranty operation at higher speeds. In many cases, however, depending upon the quality of the memory and motherboard in question, faster memory will work just fine.
Now, what happens when you run faster memory? Well, the memory controllers in the processor are obviously clocked at higher speeds and must process data at higher rates. This can lead to higher and perhaps more-volatile temperatures. Whether this is of sufficient magnitude to cause any problems will depend upon how fast it is being asked to clock (usually it is not). From the DIMM/SODIMM standpoint, those that offer higher speeds are typically designed - with heat spreaders, etc. - to handle the higher temperatures that could result. Obviously, providing good airflow around the DIMMs/SODIMMs is important.
Sometimes faster memory is not really faster. There are a lot of factors involved. Here's an introductory article that might help: https://www.wepc.com/tips/ram-speed/.
Hope this helps,
