There are minimal risks, very rarely they get caught on things. Closed-bands are the safer option, and those are slipped on when they are very young and can slip over the foot. Open-bands are put on at any time or age, and pose a greater risk. Those can slip over the foot on occasion, are more likely to get caught on things, and could get crushed by the bird chewing on it too hard, since they are open and not as structurally sound as the closed bands.
Like Mythara said, if he doesn't have a closed band on now, I wouldn't bother really. If you want it off, take them to a vet :thumbsup: