The danger na say you can be implicated in any issues they have with the authorities in the future, now reason am say them dey into money laundering and your account is among the account dey send money frequently. Mightn't be big transaction but for the fact they trade with you frequently, you fit become a suspect when the wahala come so to avoid issues and to support your defence, it's better you have a record of trading with different people.

Also if investigation come and the merchant account is to be tracked and closed in relation to Naira manipulation or other reasons they might be having, having frequent trades with them exposes you to alot of risk and takes away your privacy. To stay more anonymous and harder to track, your P2P trades should be with different merchants.