Its fine, you're protecting your catalog and you're using more than one location which is even better.
Not that I found anywhere. In my 7.1 there might have been a limitation on using Tape in SLPs.
#EDIT
Found this in http://www.symantec.com/docs/HOWTO73205 (the link to TECH72198 doesn't work though)
As long as you're aware of how to work the copies you'll be fine. You're not duplicating but making inline copy so 3rd point doesn't apply.
Considerations when using SLPs with Catalog Backups
NetBackup 6.5.4 introduced the ability to use SLPs with catalog backups, however the following points need to be considered when doing this:
When writing to tape or VTL catalog, backups must be directed to volume pools which have the ―catalog backup‖ attribute set. This attribute is not checked when an SLP is configured for use with a catalog backup policy so you must check that the pool attributes are set correctly when you create the storage operations in the SLP.
If catalog backups are duplicated using SLPs, additional steps are required to restore the catalog from a non-primary copy of the catalog backup. More information about this can be found in the NetBackup Troubleshooting Guide.
If catalog backups are duplicated using SLPs, both parts of the catalog backup must be duplicated in the same duplication job.
Additional steps are required when recovering catalog backups from disk storage types supported with SLPs. More information about this process can be found in TECH72198
