The main risk is interest rate risk, which is high as PIBS are permenant — and therefore not redeemable. Most of those that are redeemable, are many years from maturity. Their duration is usually very high.
They are bond like instruments in that they pay interest. Like other building society investments (including deposits) they make holders members of the building society, with rights with regard to management similar to those of a shareholder in a company.
This means that PIBS also bring the chance of a windfall profit should the building society demutualise. If a building society does demutualise, then PIBS become subordinated debt.
PIBS tend to be somewhat neglected investments, although there is the occasional bit of media coverage to tell investors that they do exist.