This is a concern to me because I use a Lee Auto Prime myself. The main danger with using this type of priming tool is that an incident may cause a chain reaction to other primers in the hopper. Secondly, because it is a hand held device, care should be taken as to where you point the opening of the case. A hand held priming tool should be treated as a loaded firearm. Remember, the primer is the dangerous bit.
Several things can cause a primer to explode when being seated.
A faulty primer. 2- Trying to prime a case which has already been primed. 4- forcing a primer into a case when there is obviously a problem. Hand held priming tools are a good thing. Its really no big deal, they are cheap enough.