The big problem right now is that vaping on long-term might have effects on your health, especially the lungs. No clinical trials have been done as of today so it can't be advertised too much. Believe it or not, we're just still guinea pigs with vaping.
Well, strictly speaking, this is so. However...
Heavy, frequent inhalation of vaporized pg has been done for a long time, since the late 1800s, by theatrical techs and performers and aside from those with preexisting asthmatic issues and those with an allergic problem, no adverse health effect has been observed from long-term inhalation. There have also been modern studies that back this up (and some that report a health benefit in the form of antibacterial action).
Inhalation of vg is a bit iffier, and it does break down into a toxin near the temperatures used in vaping. However, this is in minute amounts and is probably (but not proven!) far safer than inhaling combustion products.
Nicotine in isolation and small doses (such as with vaping) is well studied and it's hard to pin down specific health problems to it.
Flavorings/colorings: can't make a blanket statement since they're all different! This is really the part where we don't know what the health effects are. Flavorings and colorings are tested for safety when ingested, not inhaled. These are a small part of juice, though.
All in all, we know more about the health effects than many people state. They're certainly not "completely unknown". So what you say is true, but not completely so.