To what end? The horse freaks and ends up with a nasty rope burn -- or worse?
Which is less? Adding a saddle or surcingle to prevent the error or a lame, possibly terrified horse that you can't ride for days - weeks - ever?
If you have never done this I can't expect you to understand. When I was 12 I watched my trainer do it once and then she handed the lines over to me (it was my horse she was teaching me to break). It takes some care on the handlers to keep the outside line longer, inside shorter, and be able to transition smoothly when you change directions, but it is a great technique for the horse when the person knows what they are doing.
Your claims of a lame horse are a little exaggerated I think. Especially in a round pen, what's the worse that could happen? Even if the horse somehow pulled away from you and you lost the lines, they would run around in circles. In my mind, it's no worse than a horse breaking away from you with a lead rope, which my mare has done several times. Like mare care was describing, that's why you desensitize the horse with one at first and move slowly, like and training technique.
Anything bad can happen with anything you do with a horse, we all know this. This is probably the least of them, assuming the handler is competent and has prepared the horse. Again, something that should be done with any training method.