Engine braking is only on the driven wheels and you have less control of modulation. So for a front drive car it may induce understeer and loss of steering control and in a rear drive car it may induce oversteer (for experienced drivers this is preferable). Under most normal conditions engine braking is fine though.
On a 4x4 the engine braking is more even but may still give you mixed results compared to the cars braking system that is better balanced and with all the electronic assistance of ABS EBC ASC etc.
When in doubt put it in neutral and use brakes carefully. Again that's not necessarily the best result. A skilled driver can still modulate the engine revs to match road speed and gain more control. But 98% of people on the road are not skilled. (did I type that out loud?)