The main risk would be isolation. If your OpenVZ is properly configured and warranty the isolation, you are good to go.
Docker does not do any modification to the file system. At runtime, it mounts itself as .dockerinit. We use this in order to setup the user/group and network once the container is started.
In future version, docker will support different isolation backend like libvirt or even chroot. The base image aren't going to change though, so there is no problem using docker images on OpenVZ.