I dont think its risky in the way that they will know that the money was from fraud.
But this might depends on the amount of money you cash out. For example if you cashed out 100K$ in 1 year, they might want to know where did you get the cash from? There are many people in HYIP investing industry who do LR to Western union which might be legal, but then you need to decleare the money and pay tax to IRS. not paying tax/laundering money is a crime itself. Also if you already are under investigation and they see WU logs it can be used against you. Or if you are caught at a later time for something else, they check Wu records you might need to explain.
So I think this depends really on what amounts. This is at least how it works in my country, dont know if its same for Usa.