Is there a down-side in using of MCUs PWM to build a switching regulator? (am I going to face any problem?)
You now have a bootstrapping problem. Most of the time you'd power your MCU... from a switching regulator.
So either you have a separate regulator for the MCU (in which case why not just use that regulator directly instead?), or you have dedicated circuitry for bootstrapping (in which case why not use that circuitry always?).
You also now have a regulation quality issue. The control loop of output voltage -> ADC -> MCU code -> DAC -> mosfet is slow. Yes, the DAC may be able to switch at 80Mhz, but the time to do a reasonably-accurate ADC measurement, process the output in software, and re-program the DAC duty cycle in response will be much slower on a typical MCU.
This all being said, this can be a valid approach in certain cases. The above kind of hints to when it can be useful:
If you already have an MCU, and you're trying to add a new voltage rail that can be powered on later, and it's not easy to generate the new voltage rail from an existing one, and regulation quality isn't too much of an issue... then yes, this can be useful.