If someone is serving in the military, and comes to believe it is immoral or otherwise impossible for them to continue serving, they should be allowed to make that decision for themselves. Many things could lead someone to feel this way, and it would be cruel to demand they deny their personal beliefs and continue in their current role in the military. If they truly, deeply feel it personally harmful to continue in that capacity, they owe it to themselves to reach out to persons or organizations who can help them. Despite the stigma or possible backlash they could be subjected to, the objector needs to be true to themselves, and protect themselves from what could emotionally cripple them.
Yes, there are risks, but nothing is completely safe. If you have a disability that prevents service, there's clearly a physical or medical reason not to register. Religious or moral objections are less visible, but still valid. It becomes dicier in war time and if there's an active draft, but there should be some standards a person has to meet.
Yes being a conscientious objector is worth the risks that come with it. A conscientious objector is someone who rejects serving in the military based on regional or personal beliefs. So if the some becomes a conscientious objector they do so because of the religion or personal beliefs that state the serving in the military is one of the worst thing they can do.
Being a conscientious objector is worth the risks if the act of objecting is not outweighed by the punishment. There is something to be said for standing up for what one believes in. The only person that can answer whether or not it's worth the risk is the person doing the objecting.