Decided to create a thread with such request and found this.
To me, the only acceptable risk is "Unknown source of the key". If keyshops have any other risks, I'd like to filter them out. Shady fees? Out. Marketplace? Out. EU VAT at checkout? Out. Steam gifts? Out. All the garbage out.
The current filter for keyshops is very nice for browsing deals but if any new keyshop is added, I'd have to check out the risks and add it to my custom saved filter preset manually anyway. And it doesn't hide anything on the actual game page. Risk-based exclusion (picking acceptable risks) would be much better in my opinion.