Well, you might want to worry about citing sources that your readers might not be able to read. Otherwise, it's mostly the same risks you get when using e.g. the Pirate Bay. That's if you use the site, by the way, regardless of if you use them for your thesis.

No, you don't have to worry about it, as long as you confirm the authenticity of the documents. Cross-check with the preview of the original publisher to confirm that it's not a preprint or otherwise non-citable.