Oh, I and my therapist have had lots of talks about the risks of therapy! I've experienced some of them in previous therapies, so perhaps that's why I'm mindful of them while accepting our relationship appreciatively but not without some trepidation.
I've seen five therapists total, the first three were all short term. Number one, I referred to earlier, number two I saw briefly (couple months) before she changed jobs. My third therapist (I saw her a few months) breached confidentiality in a traumatic manner and also did a piss poor job of managing a difficult case of transference. (She was an intern, but I was 16, and not too savvy about the risks then at all, not to mention I had serious issues on which I was focused.) My fourth (I saw her most of two years) was dismissive, disinterested, and condescending. I ended that round of therapy when I was 18 and didn't go back for most of two decades.
This therapist has been in practice 20 years and her sincerity is persuasive, along with her areas of specialty, experience, and our connection: they make the risk level low enough that I can tolerate it.
Everything worth having is worth risking for.

I'm a much better therapy consumer than when I began though, that is for sure! I sorted through a number of therapists, about a dozen, before choosing her.