True, It doesnt harm his body, because if that was true and a sword pierced one of the clones, and the clone vanished Naruto would then also get the cut, which is not the case, but I think that if Tsyokume is cast, thats not a normal genjitsu. Normal genjitsu's wont work, but Tsyokume might. Because it takes alot of events and play it off in a short matter of time where normal genjitsu doesnt work the same.
The thing is Tsyokume causes mental stress and problems by inflicting physical pain to the body while the victim is cought in the genjitsu. Thus not causing physical pain but mental strain. And as we have seen in the Manga that all the mental strain that was obtained while Naruto was training did came back to him as a user, thus I would come to the conclusion that the same pain would go back to original user of the clone.
The major advantage that Naruto have when a clone is cought in the Tsyokume, is that the real naruto can disperse the clone prior to the clone being in the genjtsu for the whole amount of time, thus reducing the mental strain that would have been inflicted.