They are way safer. First of all, you can't have a chimney fire. Exhaust temps are low, as well as barrel temps, compared to a box stove. May be sparks can escape a J tube a bit. A batch box needs a door anyway. But sparks flying can be contained i think. Just the gravity and draft takes care of most. Then they won't go far, and
land on the
cob. Otherwise, you can put a screen around.
The most worying part is the reversal of the fire, causing smokeback and fire inside the house. But that's with a badly designed rocket. Chimney is realy important there, and it can also happen on a box stove! So, i think they are safer.