A Worldspace is an exterior cell that is technically separated from Skyrim's main wilderness either for performance reasons (e.g. cities) or because it actually is a different world (e.g. Blackreach, Azura's Star, Sanguine's domain)
Most dungeons would be made from tiles in interior cells. For a large dungeon there are a few things to consider:
1. Performance hits: if your dungeon is well filled, it may become very slow sooner or later, but there are optimization methods that allow you to fade out everything the player currently can't see. http://www.creationkit.com/Bethesda_Tutorial_Optimization
2. Loosing track: A large dungeon with multiple overlapping tunnels can become very confusing for the builder, so it might be better to split it into several cells.
3. Different atmosphere. While there may be a bit of daylight shining trough near the entrance, the deepest halls of your dungeon may be pitch black or everything may have an eerie demonic glow, you also may want to have water on different levels of the dungeon, or even play a different music when you get close to the ancient evil that dwells deep beneath. For all those cases you need different interior cells, because there can be only one such setting in each cell.
As for bad practice, it really depends. If you want to make an old-school teleporter/spinning-floor maze, then I'd say it is a good idea to have everything in the same cell (no loading screen). And of course it's fine to avoid the loading screen when the player falls into a bottomless pit, that can be only exited using a teleporer. Like everything it shouldn't be overdone, though. And there may be alternatives to consider, a well-done custom loading screen may add to the suspense, especially when you give a hint of what awaits the player down below.
When keeping track of your dungeon layout is the main reason for separating your dungeon, then you can just as well make separate cells and claim it was for performance reasons.