Regarding the "dangers" of UFOlogy, I think the vast majority of these are purely in the eye of the beholder. Now I do think there was some danger back in the day of running afoul of Phil Klass. His mean-spirited campaign against James MacDonald was almost certainly a contributing factor in MacDonald's suicide.
As for claims of being pursued by MIBs and such, it is more likely that some UFOlogists are being stalked by the phenomenon's fringe human
element. As we ourselves have seen, some "unusual" personalities are attracted to UFOs. Such people may stalk a UFOlogist in much the same way TV and movie stars are pursued by delusional fans.
The biggest danger of showing any serious interest in UFOlogy is that your friends and family will consider you to be a little goofy. For example, several years ago, I asked a Canadian friend to record one of Paul Kimball's documentaries off of Canadian TV. The guy has chided me about it ever since. Oh well, I still kid him about hockey pucks and Moosehead beer too.