No if your setup is working it should be fine. As for security you do lose a bit since you no longer bind the session ID to the IP address since to the webmail server the connection is coming from the Proxy.
Theoretically it would be possible for someone to hijack someones session but it would require a lot of work.
You could however run the front end of the proxy in SSL mode so that a connection can not be easily sniffed across the internet.
-Chris