Yes, it is a risk. But it can be mitigated. You are probably at a greater risk from someone else's generator, seems like those are the ones I have heard of. Even with our better sealed units, you can have outside air intrusion. Maintain your CO Alarm and you will be OK.
If I were using it and prevailing air currents were moving the generator exhaust toward my coach, I would move my generator.
2022 Outdoors RV Blackstone 250RDS
2001 GMC Sierra 3500 DRW