Imagine that you bought a few strings of incandescent Xmas lights. They are rated for indoor use only. The tag says not to use them outdoors. They aren't any cheaper than the outdoor-rated lights sold in the same store; but you feel that the indoor-rated lights come in nicer colors.
You want to use them outdoors for about one every per year (in the fall). They'll be used in a backyard hut. They'll be attached to the roof of the hut, which is made of bamboo poles. The roof is not watertight at all. The lights will remain lit all night, every night. They'll be plugged into a GFCI-protected outlet.
After the week is over, the lights will be stored away in a dry basement until the next year.
It can get chilly here in the fall -- it can dip to 5 °C (40 °F) at night. It also rains sometimes.
Rain will fall on the lights, and they'll get wet.
What are the risks?
(Optional:) If you like, also consider your favorite North American electrical code. Either the US National Electrical Code or the Canadian Electrical Code. Is it likely to be legal to take risks like this one?