The reservation from developers will because it isn't standard Magento approach and given it restricts admins from doing this, orders could end up in unexpected states. So without specific experience doing so, it's wise for them to advise a level of risk.
If you've tested it and works though, that's fair enough and you can continue until you run into it. I wasn't sure if Magento would throw an exception when you tried to do that.
For instance, one side effect could be: You programmatically set state, then the order gets moved to another state temporarily in admin (maybe on hold), you will not be able to manually set it back to the original state in admin should you need to because that status isn't assigned to that state through Magento configuration.
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