It's simply because, people who are unfamiliar with mech mods, ohms law and battery safety go out and buy them because they're cool. Next thing you know they shorted out the battery causing it to vent (best case scenario) or explode (worst case). Mech mods don't have any electronics or regulators that conventional mods do. Most don't have shortage protection, battery voltage protection or regulators to keep your mod or battery from being damage.
The main reason everyone here warns people about the dangers of mech mods is because every time someone gets hurt by these things, it looks bad on the vaping community, and it gives big tobacco companies that much more leverage in trying to keep vaping products out of the hands of consumers like us. Vaping is generally much safer than tobacco, and once someone is very educated with battery safety and ohms law a mech mod can be very safe as well.
This is neither an attack on your nor your intelligence. A very smart man could just as easily blow his grill out if he doesn't understand mech mods. I personally do not want to take the chance, as I'm perfectly happy with my regulated mods. But if you are so inclined to purchase one, make sure you are well equipped and prepared.
They can be very useful and durable products. They're generally smaller, more sturdy and more capable. But you don't want to become another statistic lol. My two cents.