While generally safe -- Xconq shouldn't crash while you are designing nor upon starting up your scenario -- you can do silly things, like loading a submarine with battleships as passengers. Xconq won't complain, but it may behave very strangely. For instance, a unit might be able to travel with a transport and leave it, but not be able to get back on again.
One way to test a game is to remove all the scorekeepers and make all the players be AI-controlled. The AI code will then act totally randomly, thus exercising parts of your design that you may not have thought much about. A convenient way to try out various scorekeepers is to put them in variants, then select them upon startup.