No, not at all. It will factory reset your phone, but it isn't risky itself.
However, people unlock the bootloader in order to modify the phone software, and HTC won't take responsibility for what you do after unlocking. Hence they warn you that warranty claims may be affected if the bootloader is unlocked, because if you weren't planning to make (unauthorised) changes why unlock it in the first place? That's what I meant by "at your own risk" - they reserve the right to treat repairs differently if the bootloader has been unlocked.
However, people unlock the bootloader in order to modify the phone software, and HTC won't take responsibility for what you do after unlocking. Hence they warn you that warranty claims may be affected if the bootloader is unlocked, because if you weren't planning to make (unauthorised) changes why unlock it in the first place? That's what I meant by "at your own risk" - they reserve the right to treat repairs differently if the bootloader has been unlocked.
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