I would one, be concerned that something that originated from a video game was in reality so many pieces from it would have a chance of occurring in reality. (Such as the mental shutdowns and psychotic breakdowns.) Second, I would be scared of their reactions to the fandom. And lastly, I would be concerned about their safety, since they would most likely be tracked down by the government, and others who have suffered due to the metaverse's actions like shadows and palaces. However, may people I believe would really enjoy having them around so they could help peoples' distorted minds like Masoyoshi Shido, a crooked politician. So overall, I believe that if the Phantom Thieves indeed existed in reality, it would be a very interesting turn of events to say the least.
Those are all some things to worry about if they were real, it'd be sorta entertaining to see how they react to being in a video game.