Years ago, I read about a European study on rodents and pine that said they could get respiratory problems with pine. I believe the study was done in Latvia. I only read the summary, not the whole study.
That said, I have kept rodents on pine for decades and haven't noticed specific problems. BUT - my rodents are for producing feeders, and I generally feed off the bin and start a new bin as they age, at about 1 year old. I suspect that older rodents would be affected a lot more than younger rodents, IF I ever kept older rodents.
SO - for a pet that you hope to keep into its old age, I would recommend avoiding aromatic shavings such as cedar and pine. But for feeders that are culled before they get old, I can't say I have noticed any problems.