This is a VERY BAD IDEA and it is not recommended anywhere.
This can cause all sorts of problems -- some major, some minor. If you haven't run into problems yet, consider yourself very lucky. There are no ABI checks in the okpg package manager and you could end up with mismatched low level dependencies (kernel level) which can cause minor or major problems (including soft-bricking your router).
There are numerous threads on the forums of people asking this same question, and even more from people who have messed up their routers using opkg upgrade. It is never recommended, but if you decide to use this method, be selective with the package upgrades (don't blindly upgrade everything) and know that you may have to start over completely if something goes wrong (which is not unlikely).
The vast majority of security related issues do not constitute major threat vectors for OpenWrt. When major vulnerabilities do arise, they are usually updated fairly quickly in an official maintenance release. If you want to be on the bleeding edge to capture all security and feature updates, run snapshots and update regularly (using the sysupgrade path). Otherwise, wait for the official stable releases.