You'll only get banned if you use online in your emunand, so there wouldn't be a problem modding your switch. there are also many codes/applications that prevent you from going online in the cfw anyways, so getting banned from Nintendo is out of the question(if you have been prepared that is)
It's not the movies or games downloads that I would worry about, like breaking into networks, downloading encrypted things, spying on network traffic. I have seen so many "Top Secret" seals on files when I was a kid
I was obsessed with finding UFOs, a surprising amount of US files where stashed on computers in other countries, China back in the early 90s omg sooo much