Other than being rather low on the nutritional value lists, the only real risk I have experience with mealworms is the heads. They have very strong sharp jaws the can sometimes cause injury aspecially in smaller frogs and toads. This is solved by crushing the head at feeding time.

Personally, I do not feed mealworms. I raise them up and feed the beetles. My toads love beetles of all types and mealworms are super easy to culture.