Are there any risks to removing a tag history splitter

I just inherited a system with a tag history splitter configured and we are wanting to get rid of it but, having never worked with them before I want to know if there are any risks I might face in removing it.

Yes, any tags currently historizing through it will break. Use the tag report tool to find tags with "Storage Provider" set to that name, and make sure they are changed to point at a suitable alternate.