A big thing it sounds like you missed is that Maeve can't be shut down, or at least when she is, she can wake back up. The two workers also have to worry about their jobs; they've stumbled down the rabbit hole and everything they've said and done is being recorded by Maeve. If they decommission her they'll only reveal themselves when she is put through diagnostics. They're also falling into the trap of thinking of her as an actual person instead of a robot they have (weakening) control over.
The drama around the Man in Black isn't really about whether or not he's in danger; it's about if and how he will get the answers he's seeking. But it could be said that after this episode, its proven that hosts can kill people, so that risk is there for something to go wrong.
In any case, the "lack of any real danger" is an interesting thing; it's a meta theme of the show. We as viewers are watching fiction within fiction. We know that Game of Thrones isn't real, yet feel for and worry about the characters; there's no reason one can't worry and fear for the hosts as they navigate their plots.