It possibly could get something bacterial or fungal going on, especially with the humidity & warmth, though it "doesn't usually" happen. I personally help remove any remaining shed from my snakes and I've never seen any such issue, just speculating. Sometimes a snake may get scratched when vigorously trying to shed, & that could infected, even though the shed stayed stuck on around it, I suppose. I wouldn't call it a big risk, but like I said, I just usually step in & help.