Can using Selenium WebDriver for automated web crawling be dangerous?

Simple answer, no. Only if your afraid of cookies, and even if you are, your machine isn't.

It's hard to say it's very secure,you should aware of that there is no absolute secure in network.Recently,a chrome RCE has been put out,details:SSD Advisory – Chrome Turbofan Remote Code Execution – SecuriTeam Blogs

Maybe this can effect on Selenium's ChromeDriver

But you can do some enforce on your system,such as change your firewall mode to white list,only allow your python script and selenium to access internet on port 80,443.

Even if your system pwned by RCE,the malicious code still can't access internet,unless it inject to you python process(I think it's very hard to do with js script in Browser RCE).

Another option:Install HIPS,if your python script want to do anything else but crawl web page(such as start an other process) or read/write some other files,you will know it and decide what to do.

In my oppion,do your crawl thing in a VM and do some enforce on firewall(Windows firewall or Linux iptables),shutdown useless services in windows.That's enough.

In a word,it's diffcult to find the balance between security and convenience and do not believe your system is unbreakable