should i be scared of air bag removal?

nah ....nothing to worry about .....the odds of it going off when following proper procedure is astronomical.

Only thing I was warned about is putting arms through the steering wheel spokes.

I have really skinny arms and I was in a bad habit of driving with my arm through the spoke and a dealer told me that if the air bag went off, it would snap my arm in two.

Being somewhat cautious and using common sense and you will be fine.