Coarse-grained models that preserve hydrodynamics provide a natural approach to study collective properties of soft-matter systems. Here, we demonstrate that commonly used integration schemes in dissipative particle dynamics give rise to pronounced artifacts in physical quantities such as the compressibility and the diffusion coefficient. We assess the quality of these integration schemes, including variants based on a recently suggested self-consistent approach, and examine their relative performance. Implications of integrator-induced effects are discussed.