How can the Magic SysRq key be dangerous for linux users?

It can be used to display CPU registers (which could contain bits of confidential information), forcibly unmount filesystems or reboot the computer, among other things (denial of service vulnerability).

I wouldn't say it is dangerous though. If you have physical access to the server there so much you can do without even using the "magic" key. A lot of distributions for example allow rebooting the server with Ctrl+Alt+Del without being logged in, but even if that's disabled, just unplug the power cable.

Once an attacker has physical access, all bets are off.