Pretty much all production applications consuming real-time data subscribe to more than one RIC. It's perfectly normal to have multiple real-time data subscriptions in any kind of application. I don't see any risks with using Eikon .NET API to subscribe to multiple RICs, whether the application is a console, a Winforms or a WPF. Just make sure all the data retrieval is done on a single thread.
I don't have a Winforms example handy, but attached is a simple and crude WPF example. I hope you'll find it useful. Restore the NuGet packages before compiling the example.
ricviewer.zip

Eikon .NET API was designed for use in any Windows application. It has a dependency on COM libraries installed with Eikon, which is not by design but by historical necessity. Because of this dependency it requires that Windows message pump is running on the thread that creates the API assemblies. This is also the reason why we don't recommend using these assemblies across multiple threads. In a Winforms or a WPF application Windows message pump is automatically started on the GUI thread. The reason why all the examples here on the Developer portal are console applications is to demonstrate that the API can be used in a console and to show the techniques that can be used to start the Windows message pump.
The alternative to Eikon is Elektron APIs, which are not going to be noticeably faster for the purpose of retrieving market data. The speed of data retrieval is mainly determined by the comms and middleware infrastructure, not by the client API. In your case the main thing Elektron APIs would buy you is the flexibility in terms of data retrieval across multiple threads, the variety of supported development environments (e.g. Java) and in terms of data usage rights. I cannot be sure, but from past exchanges I don't feel like any of these things are important for you. And if I'm correct on this, then I think Eikon is the best product for you because it's the most economical and provides all you need.

Great thanks for this great answer, it's clearer now!

1. In .NET Realtime data API, if using multiple subscriptions while implementing code in console, what are the risks ?

2. Would it be possible to have access to a data retrieval example using multiple subscriptions in winforms ?

Thanks a lot,