TL;DR:
- Skins are client side
- Cheating will always be risky
- Use it in moderation
- Understand what are "good" and "bad" things to do
- Avoid the ranks and EX mode
- My experience: using it for 2 years on its Japan server, no bans
Skins are client-side, that's for sure, so there's no difference with the normal scripts. I can't evaluate the risks since I don't really know what the game collect and send to the back-end (server), so it's best to not trust whoever that says it's "safe" or "risky" since they're merely a baseless guess with nothing to back it up.
Cheating will always be risky, but what really matters is how you use it. Using it in moderation and understand what are "good" and "bad" things to do with the cheat, such as avoiding the ranks and EX mode (which its entire purpose is to catch the cheaters) will always help you.
Source: my experience of using scripts for 2 years on its Japan server without a ban. Although I don't really play Azur Lane anymore.
I have so much things to say, but this will be enough (for now).