Nothing major - when you don't book separately, the airline can't send your return flight information to the immigration systems, so you may have to prove you have reservations booked to leave the country. I've never had an issue pulling this up and showing on my phone, but if you don't know, or won't, have cell service, a paper copy may be handy. Sometimes they ask, sometimes they don't.

You also won't be protected in the case of a delayed flight (or bag). Not an issue (or very very unlikely to be) if you're staying multiple nights in each destination. The airline should deliver a bag to any address, but it gets complicated when you've continued on from that destination, especially on a different ticket on another airline.