“Any reason I shouldn’t do this?” Nope, not really. It doesn’t change anything about the dashboard, it just encrypts your connection to it. We’ve been using it for weeks and haven’t even noticed. So, yeah, turn it on and forget about it. Easy.
That this isn’t enabled by default shows that Tumblr is interested in the PR of offering security rather than giving enough of a damn to automatically enable SSL across the entire user-space.