Any issues using "use icloud password" for login?

I don’t think it needs an Internet connection for the login, it will store it locally. Otherwise you wouldn’t be able to decrypt your hard drive with FileVault anymore (the password needs to be entered before the system can boot). But you do need access to the Internet to refresh your local copy of the password once it changes in the cloud.

On that aspect I found the following discussion: https://discussions.apple.com/thread/6717253. There might be a discrepancy between both passwords when the change is not immediately reflected on your system. That should be something to keep in mind. When you don’t have an Internet connection for several days, your password will obviously not be updated either.

The risks are of course that you’re reducing the number of passwords from two to one. If your iCloud password is compromised, your Mac may be vulnerable.