The main thing to be careful of IMO is cutting the threads too far down the steer tube. If the expander wedge of the stem is pressing against the threaded portion of the steer tube, it will eventually cause a failure. Maybe you'd get away with it for a while, but it's a Bad idea to take the risk. Threading your own tube in a way is an advantage, as you only have to thread as much as you need to engage the headset top nut and cup.

Also, FWIW, I was always taught that rolled threads are stronger than cut threads. Steer tube threads in a factory are rolled on a lathe. Rolling dies don't remove any material. Cutting dies like the Park do. I'm not an engineer. If any of you have any comments on that I'd love to hear them. Just thought it was worth a mention.