Actually, the New Madrid fault area produced what were arguably the three strongest historical earthquakes ever felt in the lower 48 states. All within a period of a few months around Dec-Jan 1811-1812. They were in the realm of 8 pointers. So, the risk is real. The accounts of flows in the Big Muddy make interesting reading.
That is where the risk comes from for ANO, Callaway, and any other plant somewhat near SE MO, NE AR, W TN, W KY, and N MS.