Yes, you are risking of being denied. However, the actual threat depends on who you are, what position you obtain, and what other crimes you have committed besides¹ the illegal entry.
By 13 January 2018, about 1,500 foreign citizens were denied entry to Ukraine after they have illegally visited the temporarily-occupied Crimea — the Border Service of Ukraine (link, in Ukrainian).
In 2017, Ukraine has denied entry to Yuliya Samoylova, a Russian singer who has violated the border in the past and then was assigned to Eurovision 2017 song contest.
On the other hand, yet there are no consequences to Samoylova for traveling to other countries, she apparently still has the opportunity to visit the EU.
Criminal prosecution: Article 332-1 of Criminal Code of Ukraine states that illegal entry to the temporarily-occupied territories with the aim of causing damage to the interest of state is prosecuted by law, imposing imprisonment for the term up to 3 years.
By 22 August 2017, 24 persons were indicted on this crime.
¹) the letter says that if, besides the illegal entry, a person was indicted of a higher crime, their case is filed under the other article, thus not listed among these 24.
As of January 2018, the new system of biometric control connected to INTERPOL's databases has been introduced to eliminate use of forged identification documents.
Besides the Security Bureau of Ukraine (SBU) that maintains the official database of violators by performing official investigation and intelligence, there also exist several unofficial services maintained by Ukrainian volunteers by using primarily Open Source Intelligence (OSINT). Most notable ones are Myrotvorets Center and Inform Napalm.
The database of alleged crimes may include formulations like this:
The deliberate violation of the state border of Ukraine with the intent of penetrating Russia-occupied Crimea. [...] Organizing and participation in the games of the football cup [name]
(in Russian) Сознательное нарушение Государственной границы Украины с целью проникновения в оккупированный россией Крым. […] Организация и участие в играх кубка «Союза ветеранов футбола им. Л.Яшина»
As you see, despite the fact that football championship, likewise the educational camp, looks like a peaceful activity, this person is still listed here.
Personal opinion, backed by common sense only: provided that you are not a prominent criminal or a high-level official, you may slip once or twice, but there is no guarantee it would last long.
- Are there any documents I should file to the Ukrainian authorities?
Procedure for entry to the temporarily occupied territory of Ukraine and exit from it defines that foreign nationals can entry and exit from temporary occupied territory of Ukraine through special check points by presenting a passport and special permission issued by territorial body of State Migration Service of Ukraine or territorial body of Department for Migration Service of Ukraine in Novotroitsky or Genichesky district of Kherson oblast.
The document also contains:
- valid reasons for visit (§ 21);
- list of Border Control entities to apply at (§ 22);
- forms to fill and documents to submit (§ 23);
- specific list of check points to enter (§ 3);
It should also be noted that Russian citizens who obey the international law and apply for the special permission of the Ukrainian authorities, would inevitably attract the attention of the FSB — simply because it would be very easy to accuse such person of "denial of the territorial integrity of Russia", "extremism", etc.
For example, when Ksenija Sobchak, ex-presidential candidate of Russia, has applied for this permission, she was heavily criticized in the Russian propaganda outlets.
A standard disclaimer: YMMV.