Yes, this is a catchy title, but it is true, and it got you reading this post :-). Another title could have been “Please load this mysql-dump: what could go wrong ?”. As you guessed, loading a dump is not a risk-free operation. In this post, I explain how the insecure MySQL client makes this operation risky and how to protect against it.
And if you think this post is not worth reading because you do not load dumps, consider the similarity with running any untrusted SQL scripts. You might be doing this more often than you think (have you ever had to run a script to prepare MySQL for an upgrade of WordPress, Grafana, or any other software: these are untrusted SQL scripts).