Ideally one would want to expose a plant to sunlight as soon as possible. That being said, there is a reason there a 500 seeds in every pepper. Environmental risks would be the concern, drying out, being eaten, knocked around whatever. As long as it is in a pot were you can keep it safe and properly hydrated there's no worries. When a plant is raised indoors it then needs to slowly be acclimated to true sunlight 1-2 hours at a time slowly increasing duration over about a week. Its a pain and best avoided if possible.