I'm pretty sure you're fine. That is, the configuration you describe sounds reasonable to me and I'm not aware of any insurmountable problems with it. You want to make sure you're handling cookies and GUIDs correctly, which it sounds like you probably are, but test out a few use cases to make sure cookies are working properly.
I've tried several variations on this configuration and had no problems.
Who told you this is bad? Did they give any reasons?
There might not be much documentation for this configuration in particular, but my Progress Pro script (Progress Pro - Javascript for Advanced Progressive Profiling in Eloqua 10) is designed to be used in a similar context (it handles progressive profiling the same way you do) and a number of users have been able to implement it successfully.