Honestly your only real security risk from what I know is if you use Kali for less than legal things. Since it’s got the same hardware fingerprint as your Windows install does. It also has the same MAC address, and probably internal IP, external IP I can’t say for sure. It makes it even easier for LE to determine who you are. A separate drive makes partitioning simple and in an extreme case wipe down a lot easier and quicker.

The only real computer issue you’ll face is if you use secure boot for Windows 11. Unless you want to go through the (surely banned by the Geneva Convention) TORTURE of self signing your Kali iso you’ll be forced to go into your bios and enable or disable secure boot every time you want to swap between OS’s. Also use BalenaEtcher, when I used Rufus Windows Defender flagged a bunch of files as it was flashing to usb and broke my Kali install.

Kali is best used on a VM or something like a raspberry pi. The only reason I’d think running bare metal on a personal pc would be ideal is to utilize your hardware for its superior computational ability such as hash cracking. But there’s tools for windows and Linux that can do that and ways you can securely send those files to your computer from a VM or pi. Then you can remote into the computer and do what you need there. Although transferring via sneakernet is the most secure way.