Yes, they pose significant risks. "Burned" = DVD-R/DL copies of Game Discs (Piracy / Backups).
Playing Backups Online = Permanent Console + Account Ban (Xbox Live). Microsoft checks Disc Auth / KV (Keyvault).
Legal: Burning games you don't own = Copyright Infringement. Backups of owned games = Legal Gray Area (DMCA Anti-Circumvention).