I LOVE to dive alone...mostly for the freedom. I own a dive shop & guide divers nearly every day, so the purpose of the dive is to keep them all safe & happy. Alone, I can tailor the dive to what I want to do/see. Of course there are more risks alone...something like a heart attack, stroke, etc, you're pretty much out of luck. As someone doing triathlons, those risks are certainly reduced (I've done a triathlon & a few marathons, but I won't brag about my time!) but they DO exist. Similar to going for a solo hike in the woods...except, you can lie on the ground for hours & maybe someone will wander by to rescue you...harder to lie on the bottom of a lake & wait for rescue!
At the depths you are talking about, the main significant risk is if you panic...for any reason...and shoot to the surface holding your breath. You need to be VERY VERY comfortable with getting water in your mask, in your mouth, etc. If ANYTHING will cause you to hold your breath & rocket to the surface...well, you shouldn't really be diving, but if you are, you should have someone there to call for help or the coroner, as the case may be ;-0 That being said, 20' is really easy to make a slow ascent...I've done it free diving (fast) from about 70' and on scuba (for practice...sloooooooow) from about 90'. You will learn in class (if you don't know already) why you can't hold your breath ascending ON SCUBA (compressed air)...unlike freediving, where it's no problem.
Unless you're an air hog (fast breather, no offense intended) it will take a looong time to use up a tank at 20' (somewhere around 1:40 for me)...and if you DO stay that long...and forget to check your SPG (air gauge)...something a buddy should remind you to do!...at shallow depths especially, you get a few minutes "warning" from your regulator as breathing gets progressively more difficult. (You might want to try this on a nearly empty tank in, say, 5' of water, just to check & get an idea what it feels like...that's the case with any regulator I've ever used, but maybe a really good/expensive/out of my price range regulator wouldn't react the same.)
Others have mentioned other potential problems above, so I won't repeat them. Working/teaching, I never recommend diving alone, but adults should be able to make up their own minds, knowing & accepting the additional risks involved.
Final advice, if you go alone...be sure to let someone know where you are, when you expect to be back, etc....and if there are any people on the beach, you might want to say "hey, if you see me pop up & wave my arms around frantically, that means "I need help," not "hi, I like waving to people."
By the way, I did my certification dives in Devil's Lake, Wisconsin about 20 years and 4400 dives ago.