What's the risk of installing Cyanogen Mod on unsupported phone? My device is not listed as supported on website www.cyanogenmod.com/devices. I have ZTE Skate, and some other ZTEs are listed, but not mine. 
Is it possible to install the mod on Skate, and what's the risk? If phone is not listed, does it mean, that it was just not tested, or the mod wouldn't work?
It means that in all probability it won't work. There are a lot of factors at play, but if it installs correctly there's a good chance it won't boot. Problems that could occur include:


Your hardware will likely not have proper drivers. If it shares drivers with other devices then it may work, but otherwise various parts of the hardware will simply fail to function.
The partition layout may be different, which could cause the install itself to fail if partition sizes are very different.
The kernel from another device may not run on your device's processor.
The boot image may not be configured and packaged properly for your device.


If the above all manage to be identical, then the system may boot and function, but it's generally pretty unlikely.