I have not been following SINP or provincial-nominee cases much for a long while now, so I cannot offer much beyond what has been posted in response so far, which covers the essentials as far as I know.
That said, you appear to be asking about related risks more than qualifying criteria. After all, assuming you made a good faith representation of your intention to settle in Saskatchewan, it appears you met the requirements for the SINP based grant of PR you have been given.
The main risk you appear to be worried about is whether your actions as a PR might trigger suspicions of having made misrepresentations in your application for PR, which could lead to an inadmissibility investigation (which could slow processing other applications, citizenship in particular, also sponsorships) that in turn could lead to inadmissibility proceedings and potentially the loss of PR status if IRCC concludes you made misrepresentations (including as to intention) in the process of becoming a PR.
That is an issue which, in particular, I have not been following much for some time. My sense is that the threshold for what might trigger inquiries, which could slow processing a citizenship application for example, is considerably lower than the threshold at which there is likely to be a direct referral to CBSA for inadmissibility proceedings, which again would put PR status itself at stake, at risk.
Re intent: If there are any mind-readers in the employ of the Canadian government, they are almost certainly engaged elsewhere in higher priority inquiries.
So, other than the individual's personal claims, IRCC must rely on circumstantial evidence to discern intent. And while many among us only claim that which is true, and many more can be persuasive making their claim, some are at risk of sounding akin to the man holding the smoking gun, standing over the gunshot victim, saying to the cops "I did not believe the gun was loaded when I aimed at his head and pulled the trigger. I had no intent to hurt let alone kill him. Trust me." (Spoiler alert: they may get some smiles in response but should expect handcuffs and accommodations behind bars.)
Safe Is Safe; the @Naturgrl and @canuck78 approach:
To be technical, not practical, to clarify, there is no legal obligation to settle in Saskatchewan at all, first or otherwise. So technically, for example, the statement ". . . you have to settle in SK first" by @canuck is not true. If you add, to this, "to avoid the risk of being suspected of misrepresentation," that would be accurate.
Or, as @Natrgrl framed it: "You are jeopardizing your PR and future citizenship by not settling in the province you were nominated in."
No rocket science necessary. Not settling in SK raises the question whether there was a real intention to settle in SK upon becoming a PR.
Bringing this back to what happens when the SINP nominee does not settle in SK and government officials notice this and are suspicious there was misrepresentation in obtaining PR status.
Suspected of Misrepresentation:
If CBSA/IRCC apprehend there was misrepresentation, that can lead to inadmissibility proceedings and, if the deciding official concludes there was misrepresentation, result in terminating PR status. The SINP PR will be given an opportunity to present evidence there was no misrepresentation.
For the SINP PR who fully intended to settle in SK, and thus has plenty of documentation or evidence to provide IRCC or CBSA, evidence showing the extent to which prior to making the application and during the application process they researched and pursued opportunities in the province, showing how seriously they were focused on actually obtaining employment in the province (not just saying they intended to do that), bolstered by documentation showing the extent to which they further engaged in the pursuit of provincial employment after becoming a PR, that SINP PR should succeed in persuading government officials they did not misrepresent their intention and should be allowed to keep PR status. EVEN though they did not settle in SK.
So in that scenario, the SINP nominee should be OK in the sense they do not lose their PR status.
But just the fact of not settling in SK can be enough to trigger inquiry and investigation, and this can have a detrimental impact . . . resulting in elevated scrutiny during border control examinations, for example, or non-routine processing of an application to sponsor family or non-routine processing of an application for citizenship. Again, if the PR has good proof of the efforts made toward settling in the province, that should be sufficient to avoid loss of PR status for misrepresentation. But that will not necessarily save them from lengthy delays in processing their application for citizenship.
Otherwise . . . as @Naturgrl suggested, unless you actually settle in the province BEFORE engaging in a transaction that triggers inquiries (noting, however, this could happen attendant a Port-of-Entry border control examination), or you have a solid cache of documentation/evidence of your efforts to obtain employment in the province (both before getting PR and after), best to consult with a qualified, reputable Canadian immigration lawyer with experience in provincial programs.