Are two prong cords safe? Audio Interface
I don't know this device specifically, but it is possible for it to be designed to be "ungrounded". There are several reasons for this. One is that if it's using an external power supply. 

Audio circuits can be designed with an audio ground and a power ground. If they are connected together and then grounded through the wall socket, you usually get a hum-loop. One way to avoid this is to build the audio device without an explicit power ground. 

But whatever the reasons, if you are using the device as it is intended, including using the power supply it came with, there should be no problems.