Say I plan a character that will eventually progress to Solstheim, but don't want to be trolled by some guy stealing all my Dragon Souls until I'm good and ready, is there any issue with activating the Dragonborn esm. file 'during' a playthrough, or is it necessary to have it as an active data file from the start?

I don't know, really. I do know that you don't have to run to investigate the cultists as soon as they find you. I'm working on another playthrough, but haven't gotten far enough in Skyrim to trigger the cultists yet.

I ask because, in my efforts to complete Dawnguard after many unsatisfactory characters, I've resolved to aim for my ultimate goal of Solstheim. An earnest but not-always-virtuous Crusader, Ashlander born but adopted into House Redoran seems to fit the bill nicely. The problem is that I really don't want to activate the Esm. before I deal with the Dawnguard quest arc, because I understand that Solstheim locations can become the target of Radiant quests.

Thus I would prefer to 'activate' the data file at a time of my choosing.

It's not a problem to activate or add it mid game. The only problem is removing it mid game. Add it whenever you like but once you do, you're stuck with it for that character.