You'll always run a risk because you're breaking the law, but it can have a wide variety of different consequences between countries so that is worth considering too. If it's a fairly light restriction, like you might have to pay a small fine if discovered, then you might be willing to accept that as a cost of choosing a specific currency. However if you could get 5 years imprisonment if found out, you might choose to steer well clear of it altogether. The longer it  has been banned in a country with severe restrictions (like China) then the more difficulty you would have smuggling a physical device into or out of the country in future, so for you it might become impossible to move later on - making it essentially a worthless asset with a high risk involved.