There were several risks involved in creating the opening sequence "The Disappearance of Nancy Adams". The main risks included poor lighting inside the studio that required refilming the sequence, actors cancelling last minute which could have prevented filming, bad weather interfering with planned filming days, and an actor running into the road during filming which posed a safety risk. Addressing these challenges required finding replacement actors, rescheduling filming, and being cautious of traffic while filming an actor near a road.