I suppose there is one risk to using a cold wallet often: if your use if that wallet is normalized, then it can be harder to spot malicious things when they happen, if you are not diligent.

Take that hack that happened last year on that one exchange (I forget which). It was reported in the press that their cold storage was hacked, but in reality what happened was an extremely targeted attack that redirected cold wallet transactions to addresses controlled by the hacker without the signers' knowledge. The same thing can happen on a hot wallet, of course, but you have fewer funds in that, don't you?

So just to be safe, if you use a cold wallet for transactions like this, make sure to limit the number of devices you use it with, and practice good internet hygiene on those devices.