It's better if you keep your bootloader unlocked, and yes will avoid warranty reminder warranty is for software stuff
No risk at just keep unlock bootloader most android phones has option to enable and disable bootloader with warranty but asus playing very safe here not even allowing bootloader unlock
If any of there update messup your phone you can fix your self instead waiting for them
For rom and root if you apply any 3rd party rom you will not able to use air trigger and vibration partten ,x mode,back light other main features etc
But you can root and flash some stable version of stock rom