The only danger to the utility system if you use a 95 kV BIL transformer, and all of their equipment is 110 kV BIL, is that there may be a slight reduction of system reliability. This reduction would come about because part of their system (your transformer) would have a lower BIL and be more susceptible to a lightning flashover. If you have surge arresters on your transformer, the reduction in system reliability would be negligible.
If you are in North America, I doubt seriously if all of the utility's equipment is 110 kV BIL. Normally 110 kV BIL is only used for substation equipment on 13.8 kV systems.
You will have a higher probability of lightning failure on your transformer than if you had a 110 kV BIL transformer, even with arresters, because the protective margin will be smaller with 95 kV BIL. However, an adequate protective margin can be achieved with either BIL.
If anything, your transformer having a lower BIL would reduce the probability that the utility would have a lightning flashover of their equipment because you would be the weak point for a nearby lightning stroke.