I'd assume any code in a non-memorysafe language that parses any freeform data entered by the user is a potentially exploitable security vulnerability, so an interactive shell is a huge surface area for attacks?
Yes, but irrelevant here. Basically any shell access means you've changed from preventing remote code execution to preventing privilege escalation, which is much harder.
If you fuck up the sudo file while saving it, you might no longer be able to log in to fix it. Before I knew about sudoedit I would open two shells as root, edit the file, then use a third window to make sure I could still sudo.
With two windows I could accidentally close the subshell in one without locking myself out. Think if it like linemen, who use two tethers for climbing structures. They are never detached from the safety lines.