Yes MX cost is just a bit higher... same turbine core, plus a gearbox, prop hub, and associated gadgets. It's not a huge deal though, fuel savings still gives you a net win. All else being equal on a route that's suitable for props.

I'd assume insurance has to be a bit higher, but no first-hand knowledge...

Engine Thrust Failure: Prop needs to auto-feather. If it doesn't, pilots need to verify it and manually feather. If the feather just doesn't work at all, that can be bad. Although I know about an EMB-120 that had an engine fail with feather fail and they were able to do a pattern, come back and land fine, at a high altitude airport. It might have been cold, and don't recall if they were heavy at all.

Engine Structural Failure: We've seen a few spectacular fan failures in recent years. Dramatic news footage, but the planes did not seem to be in any more danger than a routine engine failure. When a turboprop hub comes apart, the plane is often lost.