I have a lawn that is mostly shaded so I have purchased dense shade grass seed. However, there are parts that get mostly sunlight and little to no shade. If I used the dense shade seed on those areas will there be issues?
You should be fine. It's not that the grass likes the shade it's that it's more tolerant of shade. They'll do fine, probably better in most cases, with more sun. Dense shade mixes primarily consist of fine fescues like creeping red fescue, hard fescue, sheep fescue and chewings fescue. Fine fescues are frequently used in low maintenance lawns in full sun such as highway medians because they can tolerate salt, infrequent mowing, drought (they'll go dormant), cold and less nitrogen input.
Some people just like the fine fescues compared to other grasses because of the fine texture, high density and soft feel when walking on it barefoot.
They do have some disadvantages though such as not holding up as well to traffic as other grasses.