Nothing risky about it. Verizon store would do the same. If you were trying to hack it and bricked it yourself, then please don't return it or try to get a new one. We take responsibility when we choose to hack our devices.
Just finished SBFing the phone. It installed much faster than I thought, about 5 minutes. The phone turned on and prompted me to activate it. Seems ok. Thanks to Droid-Xer for the link to the SBF tutorial, it was much faster and smoother than I anticipated it would be.