I think the biggest risk you'd have with XP online is using Internet Explorer, as not only is it going to have tons of vulnerabilities that are unpatched, but it'll also be incapable of negotiating SSL with modern websites. And the latter would also be true of any browsers you brought back from that time period to run on it, too, so using Supermium is probably why you're doing well.
It's not like tons of embedded systems aren't still using XP to this day either.