I know there is quite a large thread of people building an expansion card with a magnetic port built in, but they’re all accepting the risk. The main reason that I’m aware of is that the unprotected pins can easily cause a short due to static electricity. The exposed pins on your laptop are now an exposed point that can conduct static electricity directly to your internal components. Source
I also believe there’s some risk involved with the fact that all of the connections (power & data) are made all at once. In USB Type-C cables that are up to spec the ground pin is connected before anything else makes connections. This helps prevent any accidental electricity, static or otherwise, from frying your device. This does not happen when you just snap together all of the pins all at once on a magnetic connector. Source
So, I feel that the possibility of risk may be small, but it has a lot of opportunity to damage the device, hence why I don’t do it and why I caution others to do it. If the convenience is worth the risk to you, by all means, go for it. It’s a very cool concept, just not one that I’m willing to risk at this time.