There are dangers, and I don't see how they could be explained any better than by this blog post
The danger of this kind of adapters is their size. Main's electricity is in very close proximity to the low voltage output. It is perfectly possible to make these items safe, and there are official standards such as the CE mark that enforce minimum gaps and methods of designs that make these adapters perfectly safe. The problem is that not every manufacturer follows these guidelines, and some even claim to do so when they do not. You do not have to look far to find examples of products that fail unexpectedly, and it is possible for a failure to cause a fire.
Dangerous design could occur in any electronic device, but these devices are more prone to it because they are so small. I use them myself, but I ensure I get them from suppliers I consider reputable, and pay a bit more for them.