It's much more complicated than you think because CMYK is not CMYK and RGB is not RGB. But luckily, it most likely also isn't a problem. Be sure you have the correct color profile for your monitor so the colors that you see are actually the ones you expect (well, mostly... as good as you can get them), and you're almost certainly "good to go".
In respect to what something like CMYK means, there is a huge difference depending on what print technique is used (same goes for displays and RGB). Some print techniques have a surface on the color spectrum which is 5-6 times as large as others. They're still the same "CMYK". Some are wholly within RGB, some are not.
And then, RGB has half a dozen definitions as well which are all mostly overlapping triangles in the color chart, but well, mostly, not exactly. Your monitor is probably designed and configured to do sRGB. Which, compared to e.g. Adobe 1998 or Wide Gamut RGB is just puny. Some monitors display colors in 10 bit, some display them in 8 bits, and some accept 8 bits but really only display 6 bits. So you may not even be able to see what you do.
Converting CMKY to RGB means that maybe you cannot represent the color at all (physically impossible!), and vice versa. Thus, the idea of converting there and back between the two and getting predictable, always-reproducable results is flawed.
Is it a real problem?
Well it depends on your requirements. For most people (me included) it's a total non-issue. Unless you deliberately pick color values at or very near the border of the triangle, just do your work in RGB. Every non-junk printer will convert RGB to CMYK without you even knowing, do some more or less awesome color matching magic, whatever, and produce -- within its physical abilities -- a very usable result. For most people, that's just good enough.
CMYK is awesome at producing black, it's awesome at producing cyan, magenta, and yellow (well, duh!), and great at producing everything which is not too extreme red, green, or blue. It's not good at what remains, obviously.
Don't ask for something of which you already know beforehand that the printer cannot possibly deliver, and you're (usually) good to go.