Yes, there is often an element of risk with deep cryogenic treatment of electronic components (tubes in particular). We have cryo'd scores of new, NOS, and old tubes, and we have yet to loose one to the process. Of course this is likely attributable to the quality of the employed process itself.
We cryo'd Dan's "standard" Tung Sol tubes, and a NOS Mullard 5AR4 rectifier tube. Compared to listening to each before and after the cryo treatment process, well worth it, well worth the relatively small risk. Go for it. The sonic improvements rendered by the deep cryogenic treatment are incredible. You won't regret it.