The key risks of a spa business are:
1. Not finding sufficient labor for your venture (highly skilled therapists down to spa attendants are in demand)
2. Running into cash flow problems
3. Not having any "demand generators" such as foot traffic or "curb appeal" as they call it; or having a nearby hotel, fitness center, or beauty salon, shopping, etc.
That said, you should also look at the regional and local characteristics of your particluar spa project. Each location has unique selling points and challenges.