Well, obviously the are not blowing up the guys gun that is shooting them routinely. Why is it a risk at all? As far as the pennies, yeah every penny is important to me. I watch my pennies and that way I don't have to worry about my dollars.
I shoot Production in 9mm. My gun has a factory spec firing chamber which means that it is capable of withstanding a certain industry standard chamber pressure when the cartridge is fired. Factory loaded 9mm just barely make MINOR power factor of 125. Some open guns are chambered in 9mm as well but they have been designed to withstand considerably higher chamber pressures so that cartridges can be loaded hot enough to make MAJOR power factor of 165. That means that a 9mm major round is 33% hotter than a minor round. The SAMMI spec for a standard 9mm (minor) round states that it should produce roughly 36,000 PSI of chamber pressure in a firing chamber that is rated at 40,000 PSI. Sooooooo, if you load a 9mm major round in a factory spec gun you are going to produce somewhere in the neighborhood of 45,000+ PSI in the firing chamber. Do you begin to see the problem this can cause? Blown up firing chamber equals shrapnel in very close proximity to many body parts you hold near and dear.
Just so you know, 9mm+P loads are only 10% hotter than standard loads and produce an average 39,700 PSI chamber pressure.