What are some of the risks of relying on their accounts when studying the history of Native cultures?
The main risk I can think of is observer bias. You wouldn't believe me if I told you how great I was (nor should you), why should you believe what the Aztecs said about themselves? But then again, there may be some level of truth in what they say. You can mitigate this risk by comparing accounts from different peoples that were antagonistic towards one another, and look for the truth where the accounts overlap.
Another risk is that some cultures lacked a written tradition. For example the tribal peoples who inhabited the Great Plains had an oral rather than written tradition of passing on their stories, so much more risk of things getting distorted by the time they got written down. The myth of the minotaur is an example of how badly things can get distorted.
A historical explanation of the myth refers to the time when Crete was the main political and cultural potency in the Aegean Sea. As the fledgling Athens (and probably other continental Greek cities) was under tribute to Crete, it can be assumed that such tribute included young men and women for sacrifice. This ceremony was performed by a priest disguised with a bull head or mask, thus explaining the imagery of the Minotaur.
Maybe more significantly, where there was a written tradition there were attempts to purge those records by Europeans who didn't have an eye on what was in the best interests of 21st century historians.
The Maya recorded their history and ritual knowledge in screenfold books, of which only three uncontested examples remain, the rest having been destroyed by the Spanish