There shouldn't be any risk in using the Registry Compactor. It only uses a few Windows API calls (just like every single registry compression/defrag/whatever program), it doesn't itself modify the registry at all.
As far as I know, the only way to damage your computer with the tool is to start it and then turn off the computer precisely at the right (or wrong, really) moment. But that is only my guess, since Windows core does the job, it might be protected even against sudden power lose.
Using the feature could, in theory make your computer faster since the registry is loaded from disk to memory during system startup. The smaller the registry disk files are, the less time this takes. But I don't know whether the speed gain would be observable.
