There is no risk. I can’t remember exactly what is happening but it has something to do with the AT&T device still seeing more of the data than is typical with a true pass through. Might add an extra hop if I remember correctly.
I would recommend spending some time at r/ATTFiber before making the decision to switch away from Xfinity. That said, assuming your Xfinity service provides 10 or 20 Mbps upload speed (which is your download speed to the Slate AX) any minor annoyances with AT&T may be worth it for the much higher upload speeds.