The answer is nothing. As we said, this type of bonus does not imply any risk. The free money the operator gives you to start your journey at a platform. If you lose your bet using this bonus fund, you will return to the starting point without incurring any losses.
However, always be mindful of choosing a reputable platform to play on. For example, to claim this bonus at any sportsbook, even though you don't need to make a deposit, you still need to provide personal information to the operator.
So if the operator is a scammer, it will use your data illegally for-profit and cause you a lot of trouble. Therefore, whether you aim to claim this type of bonus or any other, always double-check the transparency of the platform of your choice before providing your information to them.