Is it safe to run a Kinect 360 cable in drywall?
Most likely not code compliant, at least - the insulation fire rating is what matters there - if you can read off any codes on the side of the cable jacket it might be possible to be more certain.

I'd suggest two boxes and a short section of conduit, as much because it will make it easier to replace when some new thing comes along in a few years, as for improved code-compliance/safety.

Responding to comment: - an electrical junction box at each end, not just "an opening" - I'd probably use EMT (electrical metallic tubing - the lightweight and cheapest type of steel conduit)  in between the boxes - use a size generous enough to pass your connectors through. Other types of conduit are probably acceptable, that's just what I would prefer for cost and effectiveness. While it might be acceptable to use the orange plastic low-voltage boxes, I prefer to stick with steel boxes.