From my experience with chinese parts there are 2 main risks. Cheap brands you've never heard of will often create a terrible product, but buying known brands often comes with the risk of them being fake.
I personally avoid getting bits from ebay.
A customer one time sent a DMM in with a cheap chinese 9v battery in. I replaced it but kept it on my desk for a day or two before it spontaneously exploded with enough force to bed half of it in the ceiling. I've avoided unknown brands ever since