In my humble personal opinion, I don't see it being an issue unless you are in an extreme situation such as downhill or freeride stuff, it which case it could result in a crash. Even then I feel like a good lock on grip is just fine and when tightened I have never spun one.
According to WTB is can be dangerous though as their newest line of grips is aimed at stopping exactly that.
Rotated grips. They end rides, dreams, and winning seasons. So, we solved the problem. In doing so, we also created a more comfortable grip, which utilizes a tapered inner-grip cylinder that interfaces directly with PadLoc-ready handlebars to eliminate rotational slippage entirely. It’s so unique that we applied for US and international patents. And yes, it rules – riding hard with comfort should have been figured out long ago – fortunately, we nailed it. Ride it to believe. Never go back. Locked comfort perfected.
Although i can see the comfort side of their design i feel like they have created a solution to a problem that wasn't a very big one.
With that said i do feel like spinning grips could be potentially dangerous in the "perfect storm" sort of circumstance, especially with it in mind that if they can spin they could potentially slip off as well if your really yanking on them in the turns...
However, under normal everyday commuter and similar conditions I don't think it is something to stress about unless they are loose to the point of spinning freely. Lock ons are proven to work, as is using hairspray between the grips and bars for a little extra grip.