I'm not able to answer you, because I have the same doubt. although I always worked with the animations exactly like this.
There is a hierarchy between the animations which few animations have preference to play before others, like taking damage or attacking should not be playing in order to walk animation to play.
I can't tell you if this is right or wrong, or if it's the best way to do it. But I can tell you that I work just like this and I never had problems with this.
So if anyone has a better way of handling this whole thing I would be glad to know it to.
So.... UP!