Ok I've sculpted a tiny world, I only want it to house 8 families at most living in a settlement, all living close together, and I really won't be bothering with 90% of the community lots either, if any. I don't like the 'roads' because they are ugly and would not suit what I have in mind - I don't want to see a car/taxi/limo .. For jobs my sims would garden and live off the land. It'll be a medieval world.

So, are there any 'dangers' I should be aware of if I don't use roads?
What are world essentials I must have so my world doesn't go horribly wrong? Should I have a grocery, graveyard and cityhall?

Any advice would be greatly appreciated.

I imagine you'll have fishing spots as part of their "living off the land". A graveyard would be good. As far as other rabbitholes, the only one I know of with consequences is not having a school for the children. With no roads you must direct the children to go to school. If no school, you will not be allowed to pick traits for the children as they age. Of course, that may not matter to you. You can also change the traits with the "testingcheatsenabled true" cheat. Not having rabbitholes will mostly affect what jobs are available. Traits like cooking, gardening, logic, fishing, handiness, painting, and so forth can be developed by sims as they do things and/or with the chess set, for example. Without the City Hall rabbithole, I don't think sims can register as "self employed". Will that be a problem for you? Good luck with your project!