Actually, the worst case is that they will cancel your permit (or not give you the PGWP) and ask you to leave Canada. If this happens, there is no appeal process short of asking the Federal Court to hear your case, which is almost guaranteed to be refused. There's no right of appeal for a foreign national in such cases.
And yes, people have had their work permit/study permits cancelled for working illegally and have been asked to leave the country. You can search the forum for such cases.
OTOH, there are people who worked illegally for a bit but still got their PGWP. That's why I said that the best case is that they ignore it.
I have no idea of the likelihood of either possibility. Maybe someone else can help.