2. It's easy to lose track of reality.
3. Moral and ethical complications.
4. Confrontations with Supreme Deities and Supernatural Creatures.
Of the four concerns I've seen regarding lucid dreaming, only two are actually valid issues.
Morals and Ethics
Does hurting someone in the dream actually hurt anyone, or are they just a figment of your imagination?
It depends on your perspective on dreaming: is the dream a real world place like Charles deLint and Christopher Golden
Confrontations with Supreme Deities and Supernatural Creatures
Every religion and spiritual lifestyle teaches a different behavior for meeting your God or Goddess face-to-face. In the dreamworld, such an occurrence is not only possible, it's downright likely.
Considering Bruce Balfour's "Prometheus Road
Considering Charles deLint's dreamworlds, all dream creatures should be treated with a Native-American-esk reverence, and sometimes a ten-foot pole. Many of them are r were supernatural or supreme beings, and unlike Neil Gaiman's "American Gods
If you decide that the dreamworld exists entirely and only inside your own head, you have little to be concerned about. But what if you're wrong?