Yes, there are always risks when running pre-release software.
the insider builds in the Dev channel could contain bugs and instabilities that could result in loss of data.
Regular backups to external media is essential if you decide to test pre-release versions of windows.
it is recommended that you do not put Insider builds on your main computer that holds your important data and apps that you are not willing to reinstall
it should also be noted that if/when you want to leave the Dev channel you will need to clean install the released version of Windows - this will remove all data and apps from the HDD.
i recommend that you read the Agreement carefully before deciding to join the insider program.