Yes, this is going to be a problem.
Your themes folder must be available to your MSM sites for them to function properly. The easy way to solve this is to move the themes folder to another available domain on the server, and change your different site settings to point at that. Note that if some domains are behind SSL and some aren't, you'll want to make sure you move it a domain that is behind SSL to cover both.
Also, some set-ups only access their Control Panel from the main domain (so
maindomain.com/admin.php). You'll need to make sure you can access your Control Panel from one of the other sites before making any changes.
Also, some MSM set-ups will have File Upload Preferences between the sites that point at the same folder and the same domain (so they can share images), and you'll want to make sure that isn't happening here so your non-primary MSM sites don't suddenly start 404'ing image/file uploads after you redirect/change your primary domain records.
I know you said you didn't see any instances of the main domain in the MSM domains, but I just wanted to point out some pain points to double check.