It's totally fine. The ideal situation would be to have it come to a boil just as you stop sparging and close the valves. I'd experiment with collecting say a gallon and a half first, then fire up the kettle. Next time adjust the "kick-off" volume and start the fire then adjusting to get to a boil just as the sparge ends.
The concern with boiling to aggressively early on would be over wort darkening. I imagine it might be tough to calculate your boil off rate too that way.
It'll definitely save some time to have the wort heating to a boil while sparging. I think a lot of people do it that way.
If you do achieve boil prior to finishing the run off, I would just count it towards the a good hot break. I wouldn't start my hop timing and additions until I finished collecting all my volume. Again, hopefully you time it right so you have a good boil just as you finish collecting (or soon there after). I typically boil of 75 minutes anyway, "pre boiling for 15 minutes before I start into the 60 minute hopping schedule.