Not to scare you of course...
But you don't risk JUST losing the ability to play against other people. You lose all future system updates (i.e MS added DivX support which banned people can't get) You lose all game updates, (there were a lot of bugs in Bully for example that were addressed with a patch), You lose to ability to download new game content (rock band songs, etc)
If you want to do any of the above. I would never have my network cable connected while I am using a backup. Each time you place a backup in the system while connected you risk getting banned.
The flip side is if you are using a Kreon drive and backing up your games with the proper tools you are significantly safer. As that is what MS has banned on in the past, bad backups.