I don't know where you heard that. If you have Enterprise Edition you can do this and still have the index available for use, if you have Standard Edition, the Index you are rebuilding will be unavialble for the time it takes to build.
very little risk. For example, if during a index rebuild there was a physical component failure - this would not cause a logical failure (which is what I think you're talking about). If , you stopped the index rebuild in flight, this is handled logically.
There have been some corruption bugs in the past - and there are some knowledge base articles outlining the problem