What is the risk of mechanical damage when upping an A500 from (for arguments sake):
135 bhp, 151 lb/ft
To
165 bhp, 210 lb/ft
I'm thinking particularly of the main drive components, transmission etc and the extra strain put on them by the increase in torque.
The easily upgradable items (brakes etc) aren't relevant to my query.

I can't imagine there's any great risk at all tuning to those levels.  Its identical almost to the ss500 output.  I'd imagine one could safely tune to around the 180 mark providing they don't rag the arse off the car all the time without any need for major component changes.  I guess its all down to driving style, I'm fairly sedate most of the time unless some ar$e annoys me.

SBM: If you upgrade your car in power you should upgrade it to reliably handle that power, and have a fund available to fix items when/if they break. If you don't then a heart breaking moment could be on the cards. Tuning is all very well, but once you start upping the power you must be ready to offset that with things like forged pistons, uprated intercoolers, uprated clutch etc to make the upgrade reliable long term. You can get away with some mods quite cheaply and I would think going to SS levels you won't have a problem at all, but each car is different and the saying your mileage may vary is very apt.