The conductors appear to be separately insulated, so this poses no risk. However, it's generally a safe bet that modifying devices or equipment is a no-go. These lights were probably reviewed by a "listing" agency (e.g. Underwriters Laboratories) that's accepted/required by the municipality having jurisdiction and modifying the device invalidates that listing.
It's low risk, but I have to push back against no risk. If someone splits it with a knife there's a plausible chance they nick the insulation by accident.
Yeah, that's fair, but it's low risk if done properly, whereas a lot of the electrical work homeowners get up to introduces risk even if executed as intended :)
