Are these risks real? Has anyone heard of companies that do this?
There are genuine risks like this in some jurisdictions.
For example, in some areas, there are regulations which require that a company hand over any personal data about a specific person, to that person on request for no charge (or a minimal charge, like $10 max). That could include e-mails about them, etc. So, theoretically, it could be a business risk to have to search tons of e-mail, search backups, etc. In practice, most regulations like this, only apply to "active" data - stuff that could be searched or pulled up in "reasonable time", and they don't apply to long-term archive tapes held off-site.
At the same time, there may be privacy laws that prevent a company from holding private data about a person after it becomes "irrelevant", and that it may be a crime for the company to continue to hold that data. Where laws like this are implemented, the guidance is that no personal data should be kept after the point when a legal claim would be time barred. For example, if you are a customer of a bank, the bank can keep your statement data for as long as you are a customer, but when you leave, they can only keep the statements for as long as they need to defend a law-suit from you - if your state puts a limit of 6 years on a lawsuit, then they need to delete the data after that time.
In practice, this type of policy is usually put in place to try an minimize the amount of "damaging" data that could be released in certain events. This can include a malevolant or disgruntled employee publishing large e-mail archives which could be a PR disaster, "discovery proceedings" in law suits (which can require the company to turn over anything and everything, including retrieve historical archive tapes, etc.), etc.
Historically, the "responding comapny" in a lawsuit had to pay the costs of "discovery" requested by the other side, e.g. retreiving data from backup tapes, restoring old IT systems (e.g. if a company migrated from Novell mail to MS outlook), technically if they had the old Novell mail on tape backups, they could be required to build a new Novell server and import the old tapes, so that they could turn over the e-mail for use by the other side as evidence against them). In practice, there are now legal systems in place so that "requester pays" in certain circumstances. Even so, however, the costs of a law-suit can be massive in terms of man-hours needed to provide the relevant data.