Once the great houses started marrying into each other, is that a pandora’s box that can’t ever be closed? Any house not marrying an heir/daughter to another great house seems to now be at a potentially massive disadvantage?

I don’t think so, because it happened during the Great Game (Garth Goldenhand married his daughters to the heirs of House Lannister and Durrandon), but didn’t seem to destabilize the feudal order. Rather, I think there were competing objectives at work: marrying one’s children to an important vassal strengthens one’s position in domestic politics; marrying one’s children to another Great House strengthens one’s position in foreign relations. 

I would guess that there would be a “natural” ebb and flow to these things, where a Great House would build up their position at home with local dynastic alliance marriages, then develop ambitions southron or otherwise and make some Great House marriages, which leads to a gradual erosion of their position at home, which requires tacking back.