WARNING: Tube/Valve amplifiers use potentially LETHAL HIGH VOLTAGES.
Building, troubleshooting and testing of these amplifiers should only be
performed by someone who is thoroughly familiar with
the safety precautions around high voltages.
The only case where it would be dangerous is if either your preamp or main amp use the "suicide box" topology that uses a power xfmr-less supply. In that case, you could short circuit the mains if one unit has the ground hot to AC, and the other one is AC grounded. If you do that, you'll know it pretty quick.
Other than that, it isn't since you'll get massive distortion from over driving a low level stage. If that happens, back off the gain. I suppose you could burn out a small signal tube's grid by persistant overdrive, but you won't want to listen to the result long enough for that to happen anyway. Even if the specs say no grid current, tubes are tougher than transistors and don't go FUBAR at the drop of an electron.