To understand what anti-cheat softwares do, let me tell you what cheats do at first.
How cheat works: To achieve cheating, cheats are used methods like code injection into remote process, manipulation of remote process and data, interfacing pointer hooks, hijacking exception handling etc. To kept hidden, cheats often use methods like direct kernel object manipulation (used by rootkits), virtual address descriptor hiding etc. So when you are using cheats you are giving it permission to look and manipulate your memory and other sensitive stuff.
How Anti-cheat Software works: What anti-cheat software do is it detects cheats by signature and heuristics (mostly like anti-virus). Sometimes it blocks cheats by detecting obfuscating code or by sandboxing the application. Anti-cheat software like VAC compares MD5 of cheats from VAC's database with the (DLL) files of your hard drive. VAC also check your DNS caches and it’s explicitly searching for entries that correlate with specific cheats. Why does it work? Because The cheat connects to a remote server to see if the user’s license is valid — thus leaving an entry in the DNS cache. VAC catches that entry, and bans the user. Anti-cheat software like PunkBuster scan memory to detects the presence of cheats and if it found one, then kicks the player out from the server.
Is it security risk: Yes it is if it's not from a reliable source. So like other software you should be careful about the digital signing, checking md5 etc. Some anti-cheat software installed with the game itself so you do not have to worry if you buy it from the official source and some are installed at servers end so you don't have to install anything hence you are clear. But the sensitive data you have mentioned are should be in a separate secure place where it's highly unlikely to infected by malware of any kind.