As long as the water is clear of obstructions (underwater stumps, sticks, pointy things) there's no real risk to the dog.
It's just a big running jump into the water. Dogs that do this while hunting are said to have "a big water entry". Of course, it's most dangerous when out hunting because you usually don't know every inch of the area where they might enter.
The dogs do seem to love it. One of my Labs is a "big water" dog; I would break him of it if I knew how because I scares the $*!! out of me when we're hunting. My other two lady Labs are dainty; they wade in and swim out. I prefer that.
I see no problem with the Dock Dogs game/training though. The conditions are quite controlled.
BTW, most Cabela's stores feature a Dock Dog competition sometime in August or September. If you're around one, you might check it out.