Would this be considered an "allergy risk"?

We did pretty much the same as you're doing with your son. He could and would eat most things... we never had to make any effort to get him eating finger foods or lumps - he just did! I believe we tried him with eggs at around 9 months and he refused them. It's one of the only foods he would never (and at 20 months still won't) eat... whether they be boiled, scrambled, fried. HOWEVER, he had some of my birthday cake when he was barely 8 months old and that definitely contained egg! He also had egg custard around the same age and pancakes at 9-10 months, which he loved! Unless your son had other allergies, I really wouldn't worry about holding back on the egg. I'm not saying I'd make egg especially, but I wouldn't worry about avoiding it.