St. Elmo's Fire not dangerous?
As you say in your question, ball lightening and and St Elmo's Fire are related to thunderstorm activity (e.g., Griwr'ev et al, 1991). Grigor’ev et al (1999) worked out a formula for the charge on small drops of water (which is a bit complicated for a simple answer), but suffice to say the total voltage involved  is high when you scale from one drop to millions. For example ~30kV per cubic centimetre is in the literature for initiating Ball Lightening, and lower for St Elmo's Fire because the coronal discharge nucleates on pointed or sharp objects.

If you troll physics forums about demonstrating St Elmo's fire in a laboratory setting, you'll see that it is actually quite dangerous, due to the high voltage. Most suggestions by physics teachers are to demonstrate the effect in neon gas, rather than air, and within glass bulbs. So one answer to your question is that the effect can be dangerous, e.g., when creating conditions of coronal discharge in an experimental setting.

What about in a natural setting? You can read in Griwr'ev et. al (1991) about several hundred reports of St Elmo's Fire sightings, but it isn't mentioned whether anyone has been 'within' the effect. However, St Elmo's Fire was observed on the Hindenburg shortly before it exploded (Robinson, 1964); not that this was the likely 'spark' that caused the explosion, but part of the prelude. 

I can't find any verified reports of people immersed in St Elmo's Fire during my quick review of published literature, or non-peer reviewed sources like Scientific American and Wikipedia. There is an interesting reference in Wikipedia to Tesla managing to light up some butterflies with one of his coils, though!



Griwr'ev, A. I., I. D. Griwr'eva, and S. Shiryaeva. "Ball lightning and St. Elmo's fire as forms of thunderstorm activity." (1991)

Grigor’ev, A. I., and S. O. Shiryaeva. "Critical conditions for instability of a highly charged oblate spheroidal drop." Technical Physics 44.7 (1999): 745-749.

Robinson, Douglas. LZ-129 Hindenburg. New York: Arco Publishing Co, 1964.