I would say the only potential issue (and it’s a remote one without any irl consequences as far as I know) is this: your IP is logged, and you can’t use a VPN to create an account or buy a subscription either, so potentially that information is all there. Plus, there is a download history for every file – I’ve no idea what they keep on record or how long. So in theory with the right subpoenas, information such as your IP, your bank details (if you didn’t choose an anonymous method), and the exact files you pirated are available.
I’ve no idea how much of that could be realized in practice. And I would like to be wrong about it all.
That said, the likelihood of all this is probably very slim indeed. I would describe this as the only potential catch. It’s worth noting that you wouldn’t be able to be penalized for an action such as “sharing” copyrighted content though, since you’d only be downloading, not seeding.