If primary amenorrhea goes on untreated in my mid 30's, it's not necessarily a health risk, is it?

Depends. It depends on why you have amenorrhea. For instance women with polycystic ovaries , may be at a greater long term risk of endometrial cancer. Women who have congenital absence of of the uterus may have primary amenorrhea. There are multiple other reasons for primary amenorrhea. If you have not been evaluated then you should see a gyn md.