Risks coming with us to capture Royal Engineers (10)
I believe the answer is:
adventures
'risks' is the definition.
(adventuring is a kind of risking)
'coming with us to capture royal engineers' is the wordplay.
'coming' becomes 'advent' ('advent' can be a synonym of 'coming'**).
'with' is a charade indicator (letters next to each other).
'to capture' means one lot of letters goes inside another.
'royal engineers' becomes 're'.
'us' going around 're' is 'ures'.
'advent'+'ures'='ADVENTURES'
(Other definitions for adventures that I've seen before include "Dangerous undertakings" , "exciting experiences?" , "Tuned raves (anag.)" , "Risky undertakings" , "Exploits" .)