How allowing img tag in formats can be dangerous?
Project page of security review module says


  Text formats don't allow dangerous tags (protecting against XSS)
  
  Cross-Site Scripting (XSS) attacks are a type of injection, in which
  malicious scripts are injected into otherwise benign and trusted web
  sites. XSS attacks occur when an attacker uses a web application to
  send malicious code, generally in the form of a browser side script,
  to a different end user. Flaws that allow these attacks to succeed are
  quite widespread and occur anywhere a web application uses input from
  a user within the output it generates without validating or encoding
  it.
  
  An attacker can use XSS to send a malicious script to an unsuspecting
  user. The end user’s browser has no way to know that the script should
  not be trusted, and will execute the script. Because it thinks the
  script came from a trusted source, the malicious script can access any
  cookies, session tokens, or other sensitive information retained by
  the browser and used with that site. These scripts can even rewrite
  the content of the HTML page.


For example you can use img tag as below for XSS attack..

&lt;img src='#' onerror=alert(1) /&gt;