Glad you like it!
It has happened in moments of crisis – during Tytos’ reign in the Westerlands, “three landed knights and a petty lord whose lands lay near the border between the westerlands and the Reach swore fealty to House Tyrell, declaring that Highgarden offered them more protection than Casterly Rock.”
The fallout is that it makes their former liege lord look weak as all hell, and it may make them weak in reality as well as in appearance if it weakens their border position by giving the enemy a useful salient. Depending on the house in question, it could be quite damaging – House Crane would give the Westerlands an express highway into the heart of the Reach; House Wickenden could give the Riverlands a way around the Bloody Gate (although given its location, there would be a danger of a Vale army marching out of the gate to cut them off from the rear).