IMHO always better to be open and up front w/ your future PDs about the couples match. That being said
Benefits: In addition to what aPD said, declaring yourselves a couple could make things easier coordinating/scheduling interviews with a given program. Also, some programs are couples friendly. Couples tend to be happier when theyre together, and most PDs seem to like happy residents (go figure).
Risks: That all or none approach I think applies more to smaller programs, perhaps looking for more resident diversity. If both applicants are strong though, dont think it matters much. One other possible risk - if you happen to be a same-gender couple, you could run into some discrimination along the way. All the more reason to be open w/ the program. You wouldnt want to end up there for 3+ years.