The only real practical concern is that if you don't use data- you might use an attribute that will become meaningful to future browsers. But what are the chances of html gaining an attribute that starts with hx-?
Our workflows should have us practice writing _valid_ code, which our tools can then take and transform into other _valid_ code. Any workflow where the humans practice doing the _invalid_ thing so the tool can magically fix it later is a bad idea IMO. Practice writing good code and use tools to make it even better!