The risk is anything else dropping your connection while an interactive long-running process is going. You can nohup, or run inside something like screen/tmux,
You're not wrong, but largely in the virtualized world we live in, it matters less and less when you have a virtual console.
That said the sshd session you are connected on is still running the old executable until the service is restarted AND your session ends, so even if sshd gets upgraded, you should still be good to go.
