Gold coast for alarm systems here. Have done the dance before with the manufacturers and warranty claims.
Andersen voids the warranty on the specific components modified, IE: sill and sash or weatherstripping. We've moved from drilling much of the sash by using rare earth magnets (discussion with them re: thermalpane)
Marvin voids the warranty on the modified component. Specific is whether or not your local rep chooses to argue if the frame is a single "component" however the sashes and related hardware are not part of the assembly.
Pella is the same as Marvin. A good rep will acknowledge field modification within their spec and alarm component installation.....key is you need to provide the alarm device's installation documentation (look up Sentrol's old application book, it has Andersen and Pella window installation) which is generally lacking on most alarm component manufacturers. If you can prove the devices are installed I/A/W established industry standards and Pella/Andersen documentation (it exists) the warranty is valid, less modified components.
Vinyl is the bad one. Generally the frame is considered a single assembly/extrusion and drilling will void the warranty on that component, but not the thermal pane.
Of interest, the big guys will offer factory alarm device installation, but the project and cost has to justify the custom work. We've done it before on large scale installations, but field modification is usually easier and more economical. We've also had the reps come to the site and document for warranty purposes. Key is whether or not the job can warrant the extra work and relationship with the rep. Usually far easier to deny warranty claims as a wide swoop, and manufacturers seek to only honor the slam dunk claims.