The moderator of this forum has built at least one complete engraver.
I don't think the problem is that it is really dangerous, rather that there is a lot more that goes into making a easy to use, reliable, fast laser engraver than people think.
I have started and stopped and started again building an engraver, but it is very hard to produce a one-off and feel like you are saving anything (money-wise). Also, when you are done, will your engraver be as easy to use, fast, portable, reliable as the better made comercial models? Will it have much value if you decide to sell it? (People might be a little more hesitant to shell out $$$ for a joe-blow homebuilt 60 watt engraver versus an epilog or universal model).
I probably could just sell off the lasers, motors, linear rails, etc. and add a few bucks and buy a lightly used epilog...