The comprehensive list provided in the other answer is definitely among the many potential legal concerns.
I’ll focus my answer on the issue of securities. A security in the traditional sense indicates that there is a stock or other financial benefit tied to the token. However, because there is no regulation then buying and selling the tokens as securities is a violation of the law. Plus, it’s a disadvantage for investors if said tokens are deemed worthless at any point if they in fact are being bought and sold as shares.
Because there is a lot of gray area when it comes to ICO tokens, your best bet is to consult with a cryptocurrency lawyer. They can walk you through the potential risks and legal issues. I invite you to check outwhere you can be put in touch with an attorney who specializes in this very specific area of law. Get in touch if you have additional questions.