The goal is to maximize braking performance.
I never do this, but my performance requirements are not that high(normal weight, non-aggressive riding, fairly flat roads).
Secondly, I only replace one part at a time, so a minor temporary drop in the performance of one set of brakes is no issue for me. I will admit that new brake pads sometimes feel worse than the old ones initially, but I think they would be able to lock my wheels whether old or new so it's not the limiting factor (tire/ground interface is limiting).
A heavy rider, with brand new rotors and pads front and back, racing down a steep hill on his first ride might get into serious trouble. So the risk depends on who you are, how you ride and what parts you replaced. The first ride after doing changes to your bike should always be done with some extra care/caution anyway IMO.
For me the risk by not doing it is negligible, for others it might be significant.