The penalties for not having had any tax withheld during the year are one reason that it's not a good idea to claim exempt if you are going to owe tax.
Another reason that it's not a good idea is that it's not legal. The IRS instructions for Form W-4 say:
"You may claim exemption from withholding for 2022 if you meet both of the following conditions: you had no federal income tax liability in 2021 and you expect to have no federal income tax liability in 2022."
So if you do expect to have to pay any tax at all for 2022, you are not allowed to claim exempt.
