I do the same thing with Rita. But I am going to stop with her, because of her being aggressive towards other animals.
It isn't a good thing to do- but we all do it. It's not good in the sense where someone doesn't know he's playing, and that could be bad. I know Mikey is only playing with you, but someone else who plays with him, and he gets mouthy (just as Rita does) may not see it as 'playing'.