Without the blades, the rotor can get spun up to excessive speed EASILLY. This is more likely to damage the engine than anything else though.

The more normal break-in method for the engine is to bench run it witha propellor. For the .35 I'd use a 10 X 5. This does have an advantage in getting the engine roughly tuned without having to worry about getting whacked by the heli's main rotor.

Using just a 4 channel radio.. you have a problem The Concept is a 5 ch heli. The 4 ch helis will have no collective pitch. While it might be possible to determine the correct pitch to run the heli for hover and level flight... you lose the safety of being able to auto-rotate when you lock in the pitch. I have to say NOT to try this. Save up and buy a passable heli radio.