It is hard to evaluate risks as it depend on how management console will be used and how access rights are configured there, but what you can expect is that once device is managed remotely, user of console will possibly have administrative access to your device, as security products tend to have access to system and all files (for purpose of scanning). In terms of macOS, it technically means that remote administrator will be able to perform actions that normally only root user can. Possible actions might be limited for specific console users, but there will still at least one administrator that will have full access, which you might consider as an risk in case you have no visibility nor control of how access rights are configured in the console.
