They wouldn't allow open pilot lights or gas ranges or gas fire places if it was dangerous. Open the cover on the furnas when it's running, it's not enclosed in an air tight box, you can watch the flames. Gas (LPG, NG, LNG) burns clean. The danger is in the CO but the amount being released is minimal and being replaced with fresh air (usually, there is always some ass monkey who uses it in a air tight space and soficates) naturally through venting or leaks in the house.