You're not going to get in trouble for modding this game by either the Devs or Steam. You're not risking your account, either -- EXCEPT that by modding, you do run the risk (however small) of getting a virus or keylogger.

That said, Nexus is pretty thorough in the steps they take to prevent said viruses or keyloggers, and I have never had a problem with them for other games. I would recommend you take a look at the steps they (or any other mod provider) take to ensure your safety / that the files aren't infected, and make sure you're comfortable with what they're doing (and then still, run the occasional virus scan, which you should be doing anyway!).

The only real PROBLEM in modding (and this goes for workshop AND non-workshop modded games) is that when the game updates, the mods break. Mods are NOT supported by the studio (yet, possibly ever?), which means modders are not getting kits (or advance info on what's changing) to get their mods updated before a patch launches.

That results (often) in mods that are broken for a few weeks after the game patches. If your server has mods on it that don't immediately update, that means you have to wait until they're updated for you and your group to play again. Takes longer, without official support. That's all.