Several years ago, when the development of electronic collars wasn’t standardized, there were some models that could inflict damage upon the pet because of a too high intensity of the electric shock. Nowadays, things have changed a lot, both because the intensity is much lower in general in most models, and because you have the freedom to adjust it.
The shock stimulus is mild enough to avoid causing your dog any pain. However, if you use it time and again and the intensity is particularly high, the receiver might cause a local irritation on your dog’s skin. If you can, use the vibration and beep settings, especially in the beginning when you aren’t sure how the dog might respond to the shock.