1&3) Naturally. You're running things on your Wii that aren't necessarily supposed to be on there. However, you can mitigate these risks by being careful about what you put on there. As you can see, not many (any?) people have reported bricking their Wii from using homebrew apps. But you also have to consider IOS37. If you do install any homebrew apps, don't install any Nintendo updates until they've been inspected by the homebrew community and risk has been accessed.
2) Back up your TP save first. i.e. - Save your TP save file to an SD card and back it up to your computer before installing the loader. Then, if you want to play Zelda, you can erase the save game of the exploit and replace it with your backed up original save.