You end up creating more work for the reviewer, and most people just simply won't do the work of a proper review. You also don't have the advantage of any CI or tests running across the entire set of changes, so you also have separate CI reports to review. All this adds up for more places for bugs to hide or happen. All the same risks are still there, and you've also added a few more points of failure in the splitting process.
And for what? To end up, most likely merging in one PR after the next, for a feature that should just be all logically grouped together, or just squashing and merging the PR's together anyway.