Keep in mind this is a quiz for a job interview. The questions may have been written by the current staff, and they may be wrong. This isn't necessarily bad, and everyone makes mistakes, and interview questions often sit in a dark corner without review, and only come out during an interview.
It's entirely possible that 'set -e' does nothing that we would consider "dangerous". But the author of that question may mistakenly believe that 'set -e' is dangerous, due to their own ignorance or bias. Maybe they wrote a buggy shell script, it bombed horribly, and they mistakenly thought that 'set -e' was to blame, when in fact they neglected to write proper error checking.
I've participated in probably 40 job interviews over the last 2 years, and the interviewers sometimes ask questions which are wrong, or have answers which are wrong.
Or maybe it's a trick question, which would be lame, but not entirely unexpected.
Or maybe this is a good explanation: http://firstname.lastname@example.org/msg473314.html