Stretching into the urethra will not cause incontinence. Stretching the sphincter muscle at the bladder opening will not either. Exercising a muscle makes it stronger, however there is a possibility that if a woman develops that muscle with stretching and then stops exercising it, she may lose muscle tone. There is not a lot of data on female urethral stretching and certainly not much documented history on it. To avoid the slight potential for a problem in this area, simply do not enter the bladder.
People play for a variety of reasons.
Other women enjoy and are aroused by the sensation of the stimulation. For some it's the control factor. Others engage because it's kinky. I have to admit it does look pretty hot sliding a cold piece of steel or a transparent catheter into that forbidden zone. I know of a Dominatrix that trains her submissives into toilet slavery by using a catheter as a pseudo straw.