The main hazard of using FurMark is that it may overheat your GPU to the point where temperatures are high enough to cause damage. ... If you use FurMark repeatedly or run it for too long, it may cause a strain that can wear out your components.
What temperature can damage a GPU?
A GPU can get a lot hotter than a CPU which you should keep under 60C. GPU's are designed to run hotter than a CPU but if you go over 100C you will damage or severely shorten its life.
How safe is FurMark?
As with any stress testing software, it's as safe as the person using it. If temperatures stay within tolerance, they're perfectly fine for testing the stability and integrity of your hardware. If you experience crashes, then it is indicating faulty hardware or unstable overclocks.