I think initially important if you are choosing them in particular to honor someone or if they spell out bad things or words you hate.
If your daughters initials spell out CAT I'd consider how you'd feel about her having a Cat related nn at some point in life. If you don't hate it, it's not an issue. (If it makes you want to gag I'd reconsider your name choice. Because, even if you can discourage the use of the nn but you can't really prevent it if she ends up liking it).
CAT is just fine. My nephews initials are WTF. That's not fine. :cry:
I agree with everyone else. As long as they don't spell something bad, it's fine.
CAT is just fine. My initials are ARG, which everyone reminds me of whenever I lose my temper. Hah, very funny. It's better than WTF, though. That poor kid.