That may be a bit misleading. It's not that there's something inherently more dangerous about the particular combination of three cells that makes it more dangerous. It's just that you're increasing your probability of something bad happening by introducing an additional cell. More parts = more complexity = greater chance of something failing.
In general you really shouldn't worry about this. The light is made to use three cells for a reason. In fact, the Elzetta hosts are made for primaries. As other have said, I buy good batteries and you'll never have a problem.
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