The reminder will not appear because the item is in a folder that doesn’t support reminders. .....

Short version: I'd set the ost as default since you use icloud.

Long version: When you set an imap data file as default, it creates default calendar, contacts, tasks folders labeled 'this computer only'. If anything happens to the ost file, you lose anything in those folders. Typically, with icloud enabled, you shouldn't have much in those folders, but it depends on your habits... icloud doesn't scan the folders and move contents to the icloud after the initial setup. 

If your habit is to go to the icloud calendar, tasks, or contacts folder to create new items, then the risk of data loss is low and setting the ost to default will be fine.

If you typically use the new item button from the mail folders to create contacts, events, or tasks, you need to use the move to folder command to move them to icloud folders instead of save and close or move them to the icloud folder later. if you don't anything in the 'this computer only' folders will be lost if something happens to the data file.