WSL allows users root access inside their Linux instance with ability to install a host of useful software including compilers, packages etc. Linux binaries may be run which Windows Defender may not fully inspect.
However, users have no admin rights on Windows itself.
There are a number of risks which include unmonitored code execution and running unvetted network services as well as bringing unmanaged Linux tooling into the Windows estate.
It can be managed, but adds an additional complexity layer.