Is there any risk of scratching or damaging the borrowed ring?
No, it's more damaging to the ring to place a ring on a keyring the old fashioned way than it is to use the Flight 101 gimmick.
Some other ring flights are very hard on the borrowed ring. With Flight 101 the ring is either on their keys or in the magician's hand at all times. The chances of the ring being damaged are very low.