I mainly use MiKTeX (Windows) as its simpler/lighter for portable use. TeX Live 2017 introduced $TEXMFAUXTREES similar for my usage in MiKTeX to the assignment on the fly of user-roots.
Although my usage is portable I use the same techniques on full installs.
For Example prior to entering MiKTeX-Console I can call
initexmf --user-roots=%~d0\mytexmf --update-fndb=%~d0\mytexmf --update-fndb
or as recommended below by Ulrike Fischer
Equally on TeX Live since 2017 I can use
tlmgr conf auxtrees add =%~d0\mytexmf and running
kpsewhich -expand-var=$texmf-local confirms it is first in the list, such that when I have a local version of a TeX Live package it is my local .sty that is used in preference to the standard one, same as it is in MiKTeX. In this way I only need to maintain one common set for any engine.
All well and good so I can use \mytexmf with any system.
My question is are there any known issues with this mixed approach ?