I want to permanently remove and fill-in below grade windows in multi-family building. What's the risk?
Depending on the size, weight would be my only structural concern.  A large window well filled only with concrete is going to weigh a ton.  That could potentially put unwanted pressure on the foundation.

The windows should be blocked/bricked in, add some below grade sealer/barrier (whatever the foundation of the building is made of), the hole filled with dirt and the top paved over to be part of the driveway.

All that said you should also call a building inspector BEFORE you start work to ensure that blocking in those windows isn't violating code...I doubt it will be a problem...but yeah, ask first in this case.