I think we have all been asking this question ever since the D-ILA showed up on the scene. So far I have yet to hear one story of catastrophic consequenses. Even though I've heard plenty of scare tactics saying they are small bombs and such. The fact so far show they are relatively benign. I'm not saying It won't or can't happen. I'm saying I have yet to here a real documented account. Although, I've heard many for UHP bulbs.
There are plenty of test stories on the net if you search for xenon bulb failure an what happens. There are links here also if you search for them.