I have complicated medical issues... So yes, I told all the doctors (there are several lol) The looks on their faces, it was fun.
Other than, "eat protein and exercise to preserve your muscle/bone" they pretty much just rolled with it and at my request tacked on a few extra things in my blood tests to monitor. It's not like these are controlled substances.
No objections beyond the reaction you'd expect telling a doctor you're ordering meds from a random 7-11 in China... LoL
Yes, there is higher risk doing so. As with all medications, that risk has to be balanced with the benefits from the weight loss. Should the day come I can afford the official meds, I'll happily switch over to them.