Yes. There could be serious implications both for the employee and the employer (who may also be vicariously liable).
There can be problems if employees visit potentially offensive sites such as pornographic sites or sites that promote racism. It is a criminal offence to access, create or distribute certain forms of pornography, or to incite racial hatred. Not only could this behaviour lead to an investigation by the police, it could (if ignored) result in the bringing of sex or race discrimination claims by employees.
In addition, employees may use images, text, music or software from the Internet in breach of intellectual property laws. And, of course, online ordering and purchasing can create unwanted contractual liabilities for the company.