I think their fear here is that servers using AMD's EPYC could be intercepted on route to customers (which the NSA / CIA are known to do as per the Snowden leaks) and then implant their own firmware. Once that's done they could then remote the servers.
The risk to us as consumers is low, unless you use the services of a company that had their servers tampered with on route to delivery. I also believe the PSP in AMD's systems can be deactivated on some consumer boards since a recent BIOS update.