The scary reality about being in the water is that accidents can happen. This is enhanced when you are being towed by a motorboat at decently-fast speeds. So, it is probably recommended to wear a flotation vest. Even if you are a good swimmer, you will be in deeper waters and can sometimes get the wind knocked out of you.
Regarding whether or not you can get hurt while kneeboarding, you can get hurt going out to get the morning paper. If you fell a certain way on the water then, yes, you could get injured. But, if you take the right precautions, you should be fine.