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In Mage: the Awakening, casting obviously vulgar magic that can't be explained mundanely causes paradox. This sort of damages the universe and can cascade into more impossible things happening, like shadows not being where they should. A sleeper observing something that he considers impossible clearly has pretty big effects on a universe level.

How does this work with the other World of Darkness character types?

Vampires can do all sorts of impossible things, but they never have to worry about damaging the universe; they just worry about the Masquerade, which is just a social construct.

Changelings have to follow their Oaths, but they can use impossible without any issue at all. For example, Wayfarer magic allows them to teleport instantly.

I'm sure there are more examples, I just don't know them.

So, why is it no problem for every other character archetype to do things that "mundane" people would find impossible, but for a mage this can really screw up reality?

(Note that I don't know much about World of Darkness, but I have played a few Mage games. I am interested more specifically in new WoD.)

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This subject is explained in more detail in Tome of the Mysteries in the part of Chapter One called "Spell Aspect" (pp. 40-46) In particular, the crossover section explains the manner in which the powers of other supernatural types interact with Awakened magic. The reason given is that the power of the other templates — the Kindred, the Uratha, and the Lost — are drawn or borrowed from sources that are on this side of the Abyss. No Kindred discipline or Uratha gift can ever cause a Paradox manifestation or a backlash.

An interesting twist on this is that there is evidence that the Promethean Created draw their power from the q'ashmaillim, who do dwell beyond the Abyss, and that their unique Wasteland and Disquiet effects are caused by something similar to Paradox. (This combines with the notion that the energy that powers the Created is not one that falls into any arcanum.)

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The supernatural creatures are essentially following physical laws that normal people aren't aware of, or manipulating loopholes in those physical laws that normal people aren't aware of; there are a set of laws governing the universe that vampires/faeries/etc aren't breaking, they're simply manipulating them in unusual (as far as normal people are concerned) ways.

Mages are actually breaking the laws governing how the universe works, which is why their actions can create impossible situations or paradoxes when supernatural creatures can't.

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