What risk might that be? CFW runs off a modified emunand. The only risk would be downgrading your console in order to be able to run it (which people downgrade for the reasons as well). Or perhaps if you installed something stupid.
Wait. I'm not familiar with Regionthree, but could you run the Save Data Transfer Tool with that trick? That's been a point of speculation in trying to get retail saves over to CIAs, but the mode swapping made it impossible to attempt.
If you're in emuNAND, you're going to have to reboot it regardless to get into sysNAND. I'd just take the extra 5 seconds to boot GW Classic Mode. Really, you will be saving yourself potential headache if your sysNAND accidentaly gets a firmware update, or you pop in a kart that requires a firmware update and you click the "accept" button on accident. Seriously, save yourself the headache and another potential "I upgraded sysNAND on accident" thread.