The Downsides of Doing Undergraduate, Masters, PhD at the same institution
Normally the downside of studying at a single university is that the student sees and interacts over the years with fewer ideas since they keep coming from the same people. Once a person gets a degree from a university department, they may have been exposed to a set of viewpoints smaller than what is available if they looked wider. In other words, you can get into a mental rut. 

But that doesn't seem to be the case here since, I expect, that your set of contacts even though in a single university is quite wide. 

But you might, just for fun, talk to a few of your most trusted faculty contacts and ask them whether it is time for you to move on or good to stay. If you are a highly valued student, then there may be a bit of selfishness in their answer, so watch out for that. But if you detect such, then it is surely time to move on. 

Over your career you want to develop and maintain a wide network of collaborators. If you can do that while still based in a single place, then you should be fine.