Is there any risk at all in leaving them in the water over the winter?

Maybe.  It does not hurt the pontoons or affect the docks to be frozen into the ice over the winter.  However, you need to be aware of the history of typical ice movements on your shoreline during the spring break-up.  If significant bodies of ice from the lake are known to move into your shoreline during the break-up, then your dock should be disconnected and pulled to a protected area or cove for the winter.  But it does not need to come out of the water and is easily towed by a boat.  If your shoreline is deemed to be a risky area during the break-up, this safeguard will avoid possible damage from the massive force of moving ice which can destroy almost anything.