John Kerski gives us the low-down:
The Tabular Model Definition Language (TMDL) provides a simpler way of defining Power BI Semantic Models. Unlike the JSON-based Tabular Model Scripting Language (TMSL), TMDL uses a more accessible tab-based format for specifying DAX measures, relationships, and Power Query code.
Click through for the various ways things could go wrong, as well as how to mitigate those risks.
Mind you, “security risks” is a very broad concept and is not an indictment of the product, but rather something to keep in mind as you attempt to write secure code. For example, did you know that bad guys could potentially access all of your data in your database by using a series of SELECT statements?