When you ask if there are any risks what exactly do you mean ? Technical/Security ?
Roaming profiles are easy to implemement and the only major bugbear I have found is logon/logoff times may increase dramatically over slow connections and/or if the user copies large files to their desktop.
Using folder redirection with romaing profiles is a good idea (Click me !
No reason why roaming profiles should not work via VPN. The whole idea of VPN is that you will be part of the local LAN.
Good luck !