A poorly designed dsRNA that has too much homology to a gene of a related beneficial species could impact it if it took up the dsRNA. dsRNA doesn't hang around in the environment, so the beneficial organism would have to be there at the time of spraying. For these reason, frameworks are being put in place to ensure due diligence is done in the design phase.
Like any pesticide, what the active ingredient is applied with may not be terribly nice (surfactants and the like). That's a case-by-case thing, which is hard to generalize.