It switches modes when it's run, rather than at install time
The main effect of running in this mode is an increase in network traffic through the card (it's likely to cause a small increase in CPU load too).
If you completely overwhelm the card, you could potentially start dropping packets, inbcluding ones genuinly destined for this server - not very likely to happen with modern hardware though.

No major security concerns but one could make the case that accepting more data in over the NIC increases one's exposure to potential threats. Not exactly a biggie though