Does something supremely bad happen if you replace terrain without the roads, like roads tunnelling into the dirt or floating in the air?
Yes, right now the various neighborhood elements maintain their assigned elevation. If you mix and match from two different terrains, you can get elements which float over the terrain, or which are under the ground. However, it hasn't been my experience that this is "supremely bad"... the game just doesn't seem to care.
For now, the selective replacement ability of HoodReplace is really meant for people who are fixing up an existing terrain, such as adding roads to Strangetown, rather than for people who are replacing the entire terrain with something very different.
If you want to replace the entire terrain with something different, then you should probably replace all of the terrain elements at the same time: roads, bridges, tree, and decorations... Still, your lots may appear to be floating in the air, or underground, just as they would when using SimPE to replace the neighborhood terrain. Not a problem, just pick them up and move them back where they belong.
I am currently enhancing HoodReplace to change the elevation of all of these elements, including the lots, so that they will match the new neighborhood terrain, even if it has changed dramatically.