The risk should be similar. Outlook would simply be downloading the emails and storing them either in a PST file or on the Exchange server. In either case any risk would be to your computer getting a virus or you getting tricked into a phishing scam. There would be no risk to the Exchange server.
If connecting to a MAPI or POP3 account why use the connector, why not just setup another account in Outlook and use that to download your mail?