If you do play all events and miss cuts, your OWGR will drop, but that will also happen if you skip a bunch of events as well.
Some events require you have your OWGR above a certain level, so if your ranking drops, you might not get into some of the more prestigious events on the calendar.
But after a while, like with any golf game, you'll likely get good enough at it where you're rarely ever missing cuts, and can basically skip any events you want without any penalty that will keep you from playing in majors and other important events.