There are roughly two types of solar power: Thermic (Solar heating) and Electric (PV)
Risks are only the risks like handling any kind of powered equipment generating/using heat or electricity.
So Solar heating heating can cause fire, stream burns (As used by concentrating solar mirrors) , mechanical overload. PV can cause electrocution and fire by short circuit.
By comparisment with other ways of power production the risks are lower. There is no fuel that can burn/explode and no waste that is either toxic or radioactive.