Loic,
Nothing speaks against your approach.
The PMBOK Guide identifies PM approaches that work for most projects most of the time. But if you have a small project then it doesn't really make sense (as you clearly see) to maintain a separate document for each of these subsidiary plans. Having an all-in-one PM Plan makes more sense.
However... from a conceptual perspective, the approach is still the same: We have separate management plans for the various areas (risk, cost, schedule, etc.), they are all considered to be subsidiary plans, but because they are "so small" we just keep them in one document.