Ideally it wouldn't be risky at all; in some circumstances it can be risky; but I don't see anything about the "Paypal Mafia" that indicates more risk. If anything most of these people seem like they started off as relative nobodies, and could return to obscurity just as easily.
EDIT: This has ben downvoted :) I guess it's (very slightly) risky to say the Paypal Mafia isn't that scary.