With respect to the cookies themselves, there is no more danger than usual. "Sharing cookies" does not mean that they can be used everywhere - by inherent design cookies only work on the domain they were created on anyway. This mod just creates extra cookies on domains you specify.
The most dangerous part of using this mod is related to improper configuration. You always need to be careful when modifying your forum's cookie settings. Having them set wrong could prevent you from being able to log in entirely. Additionally, many people just uninstall mods when they aren't working right. If you uninstall this mod when your cookie settings are wrong, you will make the problem worse and even harder to fix.
While you can just restore a database backup (technically you should make one before installing any mod), I would not recommend that anyone unfamiliar with repairing vBulletin installations use this mod.
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