a locked bootloader will prevent you from changing 1 the bootloader itself, the recovery and the modem. Unlock it and you wipe the whole phone clean (including internal storage AKA sdcard in the case of a nexus device). if you install the public (you do not build it yourself makeing sure that it DOESN'T accept test keys and ENFORCES signature verification) build of any recovery out there you're at risk because of the simple fact that signature verification of OTA packages is either disabled or accepts the know, wildly available TEST KEYS!
Now ADB, since few years ago adb is always run in SECURE mode, meaning it will ASK when you connect the device a computer the first time (for that you need to unclock the device and ACCEPT), that is enforced in recovery (I don;t know about TWRP though, stcok CM does) that means if you never connected the device to any computer before, there's NO way in hell you're having access to ADB.
The only downside is backup in recovery, but for that you have Titanium, or helium they do a fine job (with titanium, you can even encrypt and upload the backup to some "cloud thingy out there")!.