Well, yeah, there is a risk there (alrthough not a massive one, as you point out), but there's also a risk in having sex without condoms, doesn't stop the Catholic Church opposing their use....
Also, note that, whilst cousin marriage is not a problem in itself, repeated cousin marriage in a group probably is (that's why royalty had such a problem despite never having siblings marry). What matters is the total amount of genetic diversity (i.e., how many unique ancestors you have). How exactly that lack of diversity comes about isn't necessarily that important.
