There are no risks in choosing to turn on or off the option to ''Ask' when multiple sessions are detected' option, as it's just a preference in the Administration area. Choosing 'Ask' is probably the safest, as it requires user input on what should be done.
These settings control what happens if a user in yellowfin tries to login on multiple PCs with the same login account. Example scenario:
UserName: David@yahoo.com logs in on 1 PC, then tries to log in on a 2nd PC.
Deny local = Will not allow user to login on the 2nd PC.
Kill Remote = Will log user in on the 2nd PC and log him out of the 1st PC.
Ask = When he tries to log in on the 2nd PC it will ask whether to ?Cancel? the login, or kill the other session.