There's a guy at our gym who uses weighted anklets while shadow sparring, he doesn't seem to be having any issues and isn't putting himself or anyone else in any danger either. I would say start light and see how you feel. I'm sure someone with more experience in this form of training would be able to guide you better mind.
That kind of weight is absolutely fine to shadow spar with, even fast. Obviously you might want a few slow practice kicks with the weight on to get the feel for the movement and how even a couple of kilograms can alter your centre of balance, but there's no reason why they can't be used fast with shadow sparring at all. The only bit that's risky about it is if you have bad technique anyway, which is actually the problem, not the weight.
If you're using bad technique, then it's bad for you regardless of if you have weights or not. Any time in the past I've hurt my knees with kicking has been purely down to bad technique, with or without weight. If you have good/usable technique, then there's no significant reason to consider it dangerous at all with the weight you're suggesting. The only time I've had issues was with bad technique and 4kg per leg. Alternatively, light resistance bands do a great job as well.
I used to kick with ankle weights on. I never got any injury, but they were kind of a nuisance , I find it fine to kick without them.