Richard,
The method you described is known as "hybrid" mode. This is a supported configuration and it works perfectly fine. There isn't much "downside" to this setup per se, except the usual caveats associated with out-of-path deployments. Given your scenario, it makes a lot sense to configure the mobile client to do OOP. You may also want to enable a second Steelhead in your datacenter in hybrid mode to provide redundancy.
Regards,
Blanco
