I noticed with the Steam version, the master files aren't dated like the disc version, they are instead dated when they were installed on the computer. For me, Bloodmoon is dated before Morrowind, which is dated before Tribunal. In loading the game and construction set, it loads Morrowind, Bloodmoon, Tribunal.

I haven't noticed any errors yet, but is there any issues with this game-wise?

Just from observations, it seems loading Tibunal last preserves Tribunal's GMST values over the ones in Bloodmoon (Like 'Seller Max' instead of 'Max Sale', 'Share' over 'Companion Share', etc.). Interesting.