The biggest security risk in validating the OTP with both online and local validation server is the replayed OTP attack. As both the databases will be out of sync, a OTP already validated at one validation server can be successfully re-validated at the other server.
If you replay all the OTP (already validated against the online validation server) with the local validation server, the database will be in sync with the online validation server's database. This way the replayed OTP attack can be avoided, but it is risky if the re-validation of OTP fails or if the user start validating already used OTP before the OTP replay (for syncing the database) is completed.
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