The challenge is essentially who you are downloading from. If you already have a full node that has completed the IBD (initial block download) verification process you may choose to just transfer that over that blockchain to a second full node you are setting up to save on completing the process a second time.
However, if you download it from a malicious party they could send you an entirely independent blockchain with orders of magnitude less proof of work. If they also controlled some of the peers you are connected to they could continue to feed you new blocks built on top of this independent blockchain. Unless you did sanity checks against a third party block explorer or verified the accumulated proof of work you may struggle to work out what has happened.
The Bitcoin protocol is designed to be trust minimized. If you relax those assumptions and start trusting third parties you do start to open up "security holes" in Nick Szabo's parlance.