The dangers are:
- When (not if) your card gets used for fraudulent transactions, those funds will be gone from your account until you get it resolved, which might take awhile.
- When that happens, you'll want them to cancel that card and issue a new one. You'll be without access to any remaining funds in your account until that is resolved, which might take awhile. (Excepting in-person cash withdrawals or writing checks of course.)
Credit card people have it a bit easier. Funds don't disappear from their account, their amount of available credit just goes down. They still have access to funds in their account via a debit card, they just might not be able to use their credit card for additional funds beyond that. So it's likely to be resolved before it affects them, as long as they have funds in their account. That mitigates the danger for them.
I don't have a credit card. My solution is to carry a separate debit card for another account. If my primary gets compromised, I have my backup to last until it's resolved and vice-versa.
My credit union is actually very good about proactively detecting and blocking fraud, though it's gotten past them a couple times. In those cases it only took a few days to get my money back, but it could take much longer - would you be ok if your account was empty for a month while you waited? I can also get a new card on the first business day that I can get into a branch - can you get yours that quickly or do you have to wait a couple weeks for them to mail you one? Even if you can, if weekends and holidays and travel and weather intervene and make it take awhile before you can get in, would you be ok without your card?
Using a debit card isn't dangerous in itself, but you'll be in for a tough time if you're not prepared to deal without it for a bit. I recommend keeping a backup from a second account. That mitigates the danger.