Other than dental issues. are there any other health risks associated with adult thumb sucking?

Thumb Sucking: I do not believe so unless your hands are not clean. In that case there is a plethora of issues i can think of off hand and too many to list here.

Malocclusion: Besides dental complications of developing a malocclusion, thumb sucking at any age poses a risk for infection by introducing bacteria into the oral cavity. If you are going to continue with the habit, wash your hands thoroughly before doing it.