Chord and Rob have always been very clear that the SMPS inside Dave measures extremely well and say there is no need or advantage in changing to an external LPS.
Having said that, I have had the Sean Jacobs DC4 powering my Dave for about a year now. The sound is just divine. There are now quite a few of us using the DC4 for the Dave around the world and I am not aware of any who have not been completely bowled over by the sound. I personally would probably go for the DC4 before adding an Mscaler, it is that good. I say this in full knowledge of what Rob has said about LPS but it is me listening to the DC4 Dave and really at the end of it that is all that counts for me.
On my journey to deciding to go with the DC4, I first tried taking the SMPS out of the Dave and putting it in an external box. That did help the sound to be a bit smoother. I also tried only powering the analogue circuits with DC4 and having the digital circuit powered with the SMPS, also the other way around ie digital with DC4 and analogue with SMPS, and neither were anywhere as good to my ears as using DC4 for both the digital and analogue boards in the Dave.
As to the risks, the voltage output from the DC4 is very stable and is extremely unlikely to supply an overvoltage which might damage Dave. Remember that Sean's power supplies are inside the Innuos Statement which sells for more than Dave and Innuos have no qualms about using his LPS throught their range including the Statement. However, if the thought of using a third party power supply with the Dave is likely to give one sleepless nights then I would say this is not for you, do not even think about it and leave it for the rest of us because Rob will say there is nothing to be gained and Chord will say the warranty is voided etc etc. However, my Dave has been powered on 24/7 by the DC4 for almost a year with no issues and in my mind the risk is so close to zero that I don't even think about it.
The conversion is just a matter of unplugging the SMPS and plugging in the supplied umbilical to the external DC4 having taken the top off the Dave. This is fully reversible so it leaves behind no sign of ever having been there if it is removed. Be aware though that the DC4 is big and heavy! (45cm x 30cm x 12cm). And of course there is the cost which is substantial - £4400, (6000 USD for North America) but having heard it and having weighed up the extra enjoyment I get from my system I put it in the value for money category.