To be fair, most things people ask you to do in the game involve you risking your life. Kill that vampire, go get me that shield in that falmer-infested cave, go get me that book in this cave swarming with spriggans, kill me a bandit leader, and so on. Leaving a horn at an altar is rather harmless in comparison.
Personally, I've only done her quest once, post-civil war, in a Skyrim where the Thalmor were, well, not so much present as they used to be, so the risk of being arrested was practically non-existent. Apparently someone broke into their embassy and killed everyone. Not that I know anything about it, of course, just a rumor I heard.
