Dangerous as in: exposure can cause allergies that haven't been there before. Medical treatment with allergens can also cause allergies and therefore shouldn't been done willy-nilly in a prophylactic manner.

Also, suggestions like those usually bring out the quackery in people, with things like "Oh, hayfever? Let's cure it by doing summer holidays on the farm!" and "Oh, peanut allergy? I have a sandwich for you, kid!".