For most of action, when it's not possible there is a message to inform player the action cannot be done. But I found 2 exceptions (maybe there are more) and I share them here because for me it's not a normal behaviour.
The two exceptions are both working as intended, although I agree they seem weird at first sight.
When a tile has alreay a station (train or road) and I click on it to build a new station (train or road), that cost money but do nothing more. This behaviour is different with airports and harbors, I get a red message that indicate it's not possible (for me this is the normal behaviour).
You over-build a new station tile each time. For the deault stations, this is kind of useless, as it has only one possible tile, so you get the same tile each time. If you use a NewGRF station however, there may be several possible tiles, and some people really want a specific tile at each spot. By overbuilding, you can simply click until you get the tile you want. Obviously, such NewGRFs tend to make (over-)building a station tile not too expensive
An other weird behaviour is when I click on empty water tile, that cost 10 000 (maybe the cost depends of NewGRF) for do nothing.
You're destroying water. If you do that in the middle of the sea, new water rushes in, and there is not much use. However, if you cut of an area from the sea by building a row of land between them, and then destroy all water in the area, it stays dry! (Until you let the sea flood it again, of course.)