Risks? You have experienced the risk: the query doesn't run so you have to fix it.
For most keywords, there is little chance of a keyword being confused with an identifier and still producing a valid query. Of course, you could come up with some arcane examples.
The fix is to escape the identifiers. MySQL uses backticks for escaping. Other databases use double quotes or square braces. So, there is another risk: the more you use backticks, the less portable your code is.
For me, the major reason is writability and readability. The backtick key is, on my keyboard, way off on the upper left where my little pinky has to reach far for it. I find reading the resulting code more cumbersome with lots of arcane characters floating around. For clarity, avoid escaping identifiers. Avoiding reserved words and using only letters, numbers, and underscore is quite sufficient.
There is another risk . . . that you will confuse single quotes with backticks. Then your query might have a constant where you think it has a column value. This confusion is one of the most common MySQL problems in this community.