Any infection risks sensitizing the immune system against some aspect of the human body. More likely with more severe infections, but not even a pseudo-infection is completely immune from it as it's a property of the immune system, not of the vaccine. The risk is very low, not zero.
(And dengue fever has the nasty property of making subsequent infections worse--and the vaccine does the same thing. Thus you get the really weird risk balance of only vaccinating those who have already had it. Also, Covid is prone to causing myocarditis--and the vaccine carries a small risk of doing the same thing. AFIAK no vaccine caused case is serious, though.)