The ultimate risk facing First Solar is that its technology will become obsolete and the company will become insolvent and have to file for bankruptcy like so many solar manufacturers. First Solar has started to take steps to combat this by announcing the shutdown of its module manufacturing plant in Germany. If costs for competitive products continue to fall, I see more rationalization of manufacturing plants in the future.
There is also a risk that new markets like Japan, Saudi Arabia, and China will make barriers for foreign companies looking to sell modules and build power plants in their markets. If First Solar is kept out of these markets in favor of local companies, the company's potential market size will dwindle quickly.