Actually, no company support 'dual boot' but do support VM. It is recommended that you VM Linux/UNIX in a Windows installation. That way, in case GRUB screws up during an update (and it will at times), that can actually take out both operating systems in one shot. I have seen that happen before.
If you go VM, you can actually recover from that and Windows remains intact and functional.
The operating system is software and not hardware and the warranty covers hardware - BUT - the primary operating system that came with the machine has to be on it and functional if you need to return it for repair/replacement.
I would recommend to contact Microsoft Technical Support on what is covered in that scenario. They can confirm to you if it does break the warranty.
Other than that, it should work but rely on the boot loader in Linux to be the primary and not the Windows Boot Manager. You may also have to shut off Secure Boot in the BIOS. Again, contact Microsoft Technical Support on those details for the Surface Pro 3.
It should work.