I don't really think you can say that pellets are less safe than natural gas or coal. The same standards apply. It's a fuel and has to be used with care. Explosions happen in natural gas systems too. Wood pellets certainly have to be handled with care.
There haven't been any explosions in residential applications. There can be problems with fire in chimneys. Proper installation practices have to be followed, and installation codes have to be regulated accordingly. Wood pellets for residential use have a very good safety record. For heavy industrial use, just like for coal, safety precautions must be followed for protection from potential explosions and problems caused by the use of pellets because of gas emissions in enclosed spaces. It's actually the same technology.