There are no real runtime or developmental issues you can run into when having unattached media. The Media Library is a place for you to keep any past or future media ( whether it be images, pdfs, docs, etc. ). You don’t need to go through and ensure that every media is attached to any one post; as you said WordPress will do this whenever the media is in use.
A potential issue with unattached media is they can become “lost” in the sense that the user doesn’t know it’s not being used and it’s just indefinitely taking up space on the server for no particular reason. This is troublesome on site with many posts or sites that have limited server space. I’m sure there are plugins out there that handle this type of issue but none come to mind.
The main point of the database fields for attachments is so that website that utilize the Attachment Page can show that information. A single media item can be assigned or used on multiple pages but it will still only assign one post_parent of whatever the original post is on.