There are no risks. You will have complete control over the domain just like your regular 1st level domain. Except that the value of the domain would be very less compared to the 1st level domain, though there would be exceptions here and there.
You do see them out and about in use in the UK. They are understandably used by family named businesses that want to have a primary word or pairing or family name without adding anything else. I actually think they look quite neat and no-less professional than a .co.uk.
As Leo2k points out, they have no resale value in general. Of those available UK.NET is the one I would pick