The direct risk of having Veeam Backup & Replication on the production domain is that a compromised Domain Admin could gain access to the backup server and its data. This could pose a serious security threat to the backup infrastructure and the customer data, as a malicious Domain Admin could delete, modify, or encrypt the backups, or restore them to a compromised environment. Therefore, it is recommended to isolate the backup server from the production domain and use a separate local administrator account for managing it.