Once you increase absorption, you also increase the chance for any side effects. And both applying to a wet head and applying after Retin-A definitely increases absorption. Although, while in the past I had experienced side effects (slightly rapid heartbeat, chest pain, nervous tics,) they haven't posed a problem in a long time. But there was a definite and marked improvement between applying minoxidil to a dry head vs. a wet warm head and Retin-A. So for me, it was worth the minimal risks.
Yet, I have only ever applied minoxidil once a day, which also decreases the risk for sides. But for all the people who believe strongly that once-a-day minoxidil application doesn't give great results, at least for me, this hasn't been the case.
In fact, I've been experiencing such great results on the minoxidil/Retin-A combo that it has enabled me to discontinue finasteride entirely. I also find myself thinking a lot less about my hair this past year. I hope you experience an equal amount of success.