Mechanicals are as safe as you the user allows them to be. Use safe chemistry IMR batteries. Also, mechanicals are designed to use the pure voltage from batteries, not from circuit boards like regulated devices. Use common sense, invest in a good charger, batteries that can handle the load(resistance/ohms) you are putting on it and make sure you utilize the safety rings are whatever on the device. When using your batteries and you have to sub ohm under .8 ohms, invest on 30 amp rated batteries. Also invest in a cheap multimeter and test the batteries to make sure they are not over drained.
I work at a B&M vape shop and have some younger kids who frequent the establishment. They are of smoking age mind you but completely stupid with battery safety. Throwing all kinds of whatever coil in there atty because Rip Trippers says its the greatest thing yet in vaping. They use quad nano coil this or that, never use an ohm meter, never check their batteries and use them the instance they come off their cheapo chargers. Complain its not firing right then I go to check it and their batteries and mods are getting super hot. Even after educating them in safety or using a fuse int heir mechs, they are still pushin what are clearly 5-10 amp rated batteries and easily taxing them with 15-22 amp loads easily. I once had to ask them to leave because I didn't want to have to be reaponsible(even though legally I'm not) due to having a vented 18650 blow up in our lounge area.
As others have already said, practice safe procedures and your mech is no less safe than your cell phone or laptop, which have been known to blow up far more than ecigs. When dealing with lithium batteries, be it in vape gear, cell phones or high end torches(mag lights or astronomer laser pointers) there will always be a minimal chance of the battery going into thermal runaway. When pushing a battery to its limits and using faulty cheap Chinese knock off chargers are using chargers that either don't have circuit cutoffs or output the non recommended voltage, then bad things can happen. That is why everything that runs on batteries ALWAYS has a disclaimer in regards to ONLY use the intended batteries and charger.
On another note, never have I seen such thing ps in the news other than the Florida man, who clearly didnt get the clue to NEVER stack batteries in a mech. I have heard more issues with cheap knockoff egos rather mechs, and they always seem to be from some younger idiots charging them off of cheap HongKong made eBay ipad/iPhone chargers that had shorted out sometime ago.