I wish I could help, but for starters I'm not a huge fan of shoutboxes on forums to begin with, as they aren't always that great and can sometimes take away activity from the forum, depending how popular they are among users, and as far as security risks goes, I really don't know. I've never heard of a shoutbox being hacked into, just forums...
In terms of security, it really depends on the mod being used although they give no more security risks really then other mods of a similar size or complexity.
I would not recommend using an free externally hosted chatboxes as they tend to look completely out of place on sites and are restricted in terms of what you can do with them.
Again the security of the mods would be on a per mod basis. If you pick one that is widely used and is actively developed then you should be pretty safe. Whenever you add a mod, you are always running the risk that you might be also adding a few security problems.
