How small is the so called "small" risk of acquiring something bad from hepatitis b immune globulin (hbig) used as HBV pep (blood-derived product)?

Very very small. Modern treatment of Immune Globulin products has pretty much eliminated fear for hepatitis or hiv. However one is always concerned over prion which is a particle not degraded by alcohol or heat and can cause a severe neurologic condition. However I have not heard of a single case of this condition induced by immune globulin. Thus there is a risk which is as remote as being struck by lightning.