Stamping the passport for an O-1 visa approved earlier


Registered Users (C)
I am posting this on behalf of my girlfriend, who had her O-1 approved a few months ago. We were planning to travel to Madrid from US for a vacation and stamp the visa in her passport in the embassy there, having brought all the approval documents with us from US. I just read a few horror stories from people trying to get the O-1 passport stamps, either to no avail or experiencing lengthy unexpected delays, etc. So my question is: How risky is this ordeal? Can she get her visa denied or stamping delayed if she already has the visa approved? Has anyone done something like this lately?