Pressure guage full of water and leaking
First you should determine whether the gauge itself is the source of the leak. It is common for a leak to develop at the threaded fitting or elsewhere and to run down and drip from a different low point.
That type of gauge has an internal part called a Bourdon tube made of relatively thin (usually metal) material. The tube contains the process fluid (water) at system pressure and deforms according to the pressure. That deformation creates movement that is represented on the gauge dial. It is not uncommon for the tube to fail and leak which does not (necessarily...) indicate a system problem or dangerously high pressure.

If this is due to high water pressure is there risk of anything worse happening?

YES- of course, overly high pressure can damage fixtures, valves pipes, appurtenances, etc.

What actions should I take?

Remove and replace the gauge and start monitoring the system for problems. Take pressure readings at various times, etc. If you know your normal system pressure then you should be capable of recognizing abnormal pressures. In the end, if you have a pressure issue that you can't properly diagnose, you will need to get a plumber in there.