I think that the main thing that players think they are risking in going to Fel is pride.
The only other thing I can think of that is at risk is time. Almost all subscription based MMOs, whatever the penalty, it really boils down to a time penalty. Time to recoup gold, time to replace items, time to grind karma, time to get back to your body.... As you point out, the time factor is sometimes less in Fel but on average it is about the same. Thus, I would say that the "risk" people talk about in reference to Fel has very little to do with time or any of the things associated with it.