By default for Windows at least, Nagling is on. There are potential performance gains due to turning it off. What's the downside of turning it off?
Suppose you do a write and send exactly one byte. And suppose tcphdr + iphdr are 40 bytes. This means you're there's more overhead than data.
There's no real "risk". If your application does many small writes you'll experience a lot more packets and a drop in efficiency (it shouldn't translate into a drop in performance).