I'm not sure if they are afraid of CO, oxygen depletion or fire hazard, or all three. As small as the "burner" must be I can't see it putting out eough CO to do any harm. Same for O2. I suppose it could start a fire if it somehow got broken and the flame escaped.
Maybe the fumes, if concentrated enough, may cause irritation of the eyes, nose, mouth or lungs.
The 'Bonker