There actually is a danger, but it's probably not what you think: I've come across styles where the drum programming was too loud (expression 127, vol 127, all note velocities approaching 127) and it blew out a speaker :p Luckily it was still under warranty.
Those are freebie/ homegrown custom styles. There is no way anybody selling them wouldn't have tested them before selling them.
But that's about it; if you listen to a new with headphones, or simply with speakers at low volume, you're fine.
There is a *huge* variance it the relative volumes of midi songs, and subsequently, in styles.
Mark