Yes, there are possible issues. For instance, consider the Same-Origin Policy: this is one of the foundations of how Web sites are contained and don't attack each other. For instance, Javascript from a site can talk (send "POST" requests) only to the originating site. This prevents some evil Javascript from some site from siphoning your bank account by sending hidden request to your bank Web site. However, when server A reverse-proxies B, then everything seems to come from A, from the browser point of view. If B is hacked into, then it may send hostile Javascript which will run in the client browser as if it came from A, thus being able to send arbitrary commands to the rest of the site on A.
However, yes, some issues associated with WordPress are mitigated by the separation; namely, that if the machine B is hijacked, then A is not hijacked right away. As explained above, you are still in deep trouble, but not as deep as you would be if both machines had been the same. "Mitigation" might not be the right term; let's call it "partial damage reduction".
If you want a separation which is effective in the security model as implemented by browsers, then you should separate servers under two distinct domains. For instance, there is security.stackexchange.com
and security.blogoverflow.com
: that's what you should aim at. Reverse-proxying a vulnerable site is really looking for trouble.