Command throws (aka command grabs, etc.) are throws that are not of the type common to all characters (like normal throws are). Rather, they typically take a more complex command input to execute.
Though the particulars depend on the game and move in question, they tend to do more damage, or at least yield more utility than normal throws; moreover, they have their merits in that the grab range tends to be wider, and that they are not subject to throw escapes, among other things.
In the vast majority of games, a miss will yield a miss animation, wherein lies the risk.
However, the very possibility of the command throw can put pressure on an opponent regardless, and on top of that, it can be a reliable dealer of damage in the right settings, so it has powerful significance in restricting the opponent’s actions.
In the King of Fighters series, it is possible to include command throws in combos (it’s not a wholly unique feature, actually, but it’s not the expected norm); it happens when the throw hitbox still applies to the opponent’s pushback. In KOF specifically, the command throw will not come to be during a guard pose (especially not during blockstun), so that it is not a possible avenue for being cheap.
In KOF ’94–’97, there is no miss animation, which means that missing doesn’t leave you all that open. For super special moves, misses will not even expend any of the meter; they can come straight after jump attacks, too, lending them near-demonic strength.
In KOF ’98 on and afterwards, there have been miss animations included with most command throws; with a few exceptions, they no longer combo from jump attacks, but they can grab at emergency evasions, and they can be used in combos, among other things; thus, throws are still given the same red-carpet treatment as always.