Risk of what? Bricking? It should be zero, or nearly zero, because themehax/homemenuhax doesn't write anything to your sysNAND. It writes corrupted theme data to your 3DS' (micro) SD card and then only boots whatever CFW you tell it to (or the homebrew menu, or whatever you use as boot.3dsx). At this point, it's much safer than trying to downgrade MSET..