Since they are flightless, I should imagine they'd be prey to foxes.
Their ground nests would be raided by many kinds of creatures as well.

I was amazed to read here that penguins can die from avian malaria. Didn't know it was a Thing here in UK. Very sad.

It's always a bit dodgy to move species around the world then release them into the wild. They inevitably have an impact on local wildlife, and probably suffer themselves. Only example which seems to be an exception is the wallaby. There are lots of wild wallabies hopping around in various parts of the UK, and they seem to get along without causing problems.