That's right, more CO2 remains in the system.
But the biggest risk, IMO, is that this kind of geoengineering will actually work in reducing warming or even cooling down the earth surface a little bit.
Because if it works, we might pat ourself in the back, go on doing business as usual, and declare the problem solved, and indeed that would be in some sense appropriate, since the problem would be solved at least partially (leaving alone ocean acidification and other problematic things).
BUT then at that point sustaining the effort becomes a big unbreakable international COMMITMENT. And if for ANY reason we stop sustaining the scheme after several decades, we will, in the span of only a few years, get several decades worth of warming, at that will probably way more lethal since if the warming happens gradually we (and life on earth) will have a marginal chance to adapt, but if a lot of warming happens very fast, then adaptation chances would be way reduced, and consequences potentially catastrophic and lethal for the whole ecosystem including us.