The way you describe it it can´t work exactly as you want it. You have 4 different datasets and layers, but you want symbology categories that are only availabe for one layer.
What you can do is using a group layer to group the 4 layers together. This function can be found by right-click on your dataframe.
A probably better approach to avoid long loading times of the data is to subset the original layer with a definition query (in the properties dialog of the layer). The query will be quite easy as you only have to use your environmental risk field (risk='high' for example). Then you just copy your layer (right-click the layer -> "copy" and then right-click your dataframe -> "paste layer") three times and set different queries in each. You can then throw out the not needed categories in the symbology and group the layers. This way you still have a single file. Only downside is that ArcMap does not want to edit filtered layers, which means when you want to edit the data you need another copy of the layer for editing (but still a single file).