I've driven Castle Hot Springs Road and noticed that the burros liked to congregate kind of near where the road splits and you can take the back way up to Crown King. Little side channel off of Lake Pleasant filled with water and saw about 10-12 there once. Some spots of open range out there too, I'd worry more about loose cows and cowboys shooting up beer cans.
Also a bunch of private property up there. Like a lot of places on the fringes of Phoenix you get people that want to be left alone and are heavily armed.
You'll be fine camping out there. The burros might wake you in the night if they are near as they are loud when they start yakking. Drunk atv'ers are another aspect you'll most likely encounter but don't worry about them or anything and enjoy the desert.