I think it would be doable and look cool, but:
1. you would need a steady hand and a plasma cutter after fully disassembling the bumper.
2. wouldn't the lamps be turned down slighty, making led lamps less effective.
3. wouldn't it suck if the missing material allowed the ends of the bumper to vibrate or shake.
4. wouldn't it really suck if a light rear offset impact pushed the bumper into the shiny quarter panel, when an uncut bumper wouldn't.
5. how would you seal the edges to prevent corrosion.
You've thought through a lot of the same issues I have; of which I've only come up with solutions for some.
1. I would probably pay a welding shop to do this, especially because I have no access to a plasma. It would take forever and be a PITA to do it with a dremel or recip. saw.
2. It depends on where in the bumper I mounted them, and how large they were. I haven't taken a close enough look to be able to tell. You could be right, and that could defeat the entire purpose.
3. Yes. I'd have to make sure I'm not removing enough to drastically change the structual component of the bumper.
4. This's comletely possible. This wouldn't be a problem unless I hit something myself, or I can't catch whoever hit me. My rear lower quarterpanels (below the trim line) are Line-X'd anywas, so the shiny wouldn't be much of an issue, but denting would.
5. Sealing would depend on how close to perfect the holes could be. You can get ruber gaskets designed to mount lights in sheet metal surfaces. In addition, I would probably force some silicone in there during installation, and then apply a bead around on the inside.
I appreciate the ideas; definately things to consider.