I was wonder the same thing. I have a situation with 2 separate databases. One has the user personal information (among other things) and the other has a credentials table. I mainly just wanted the users first name in Zend_Auth since I was already using the Zend_Auth data in lots of other places and didn't want an extra session just for that. I think it's just fine as long as you aren't loading it with stuff that isn't used that often. Just my 1-1/2 cents worth.
Anyone else care to weigh in an tell me I'm all wet?