Is reliance on a UTXO Set provided by other users dangerous?
First, you can validate the utxo set for the most part using SPV proofs. Essentially, that would mean you need the 80-byte block headers from every block (currently 410,000 or so, which means a 32MB worth of headers) and every transaction in the utxo set can carry a merkle proof for the block that it was published in, which can help you validate the set. So getting a UTXO set along with the merkle proofs for each transaction would at the very least have some decent promises of validity.

Second, it's possible the UTXO set that someone else gives you can be either missing certain UTXOs or otherwise be sending spent transaction outputs. In that way, it's possible for another user to fool you about the UTXO set being complete.

Third, the danger in getting a UTXO set from someone else is that you compromise your own privacy. This is fine for a lot of people (those who use SPV wallets, for example), but it may not be for you.