No, it's a perfectly safe test. It is a control signal. There is 5 volts on the line. Grounding it will pull about .003 amps through it.
The problem is that this is a quick 'n dirty check. It will tell you if the PSU is dead (the fan doesn't spin up). Because it is a no load test, it cannot tell you if the PSU is good. All you know is that the PSU can produce the minimal amount of power to run the fan.