Are there risks or side effects of using progesterone cream (wild yam)?

These may be. Used for a variety of conditions, but the only one that has any shred of scientific backing is local estrogen supplementation in early menopause-- but even here the scientific evidence doesn't back up the claims. The risks include stimulation of estrogen sensitive malignancies. Also they should be avoided in pregnancy and breast feeding. In summary, probably a waste of money.