If visible light has more energy than microwaves, why isn't visible light dangerous?

Your question contains a premise that is false: Microwaves do not have less energy than visible light per se. They only have less energy per photon, as per the Planck–Einstein relation, $E = hf$. In other words, you can raise the power of electromagnetic radiation to a dangerous level at any wavelength, if only you generate enough photons – as your microwave oven does.

That very much includes visible light. You can easily verify this by waiting for a sunny day, getting out your magnifying glass, and using it to focus sunlight on a piece of paper. Watch it char and maybe even burn. (Make sure there's nothing around that piece of paper that can burn.) In conclusion, then, sunlight is dangerous!

If you stare at the Sun you’ll go blind. And if you spend a lot of time in the sun, you’re likely to get skin cancers. So visible light seems plenty dangerous to me.

Some of the damage may actually be from infrared and ultraviolet light, but these are close in frequency to visible light and very far from microwaves.

By the way, the intensity also matters, not just the frequency. In terms of photons, it matters not only how energetic each photon is, but also how many photons are arriving per second.

The dose (or, in this case, the intensity) makes the poison. You're constantly exposed to microwaves since that's what 99% of wireless communication devices use, and you're also constantly exposed to visible light unless you sleep in an isolation tank. Both can be dangerous if you increase the intensity sufficiently.