What dangers are there putting power through RCA connectors?
In my experience RCA plugs make a very tight connection, and I expect the resistance to be way less than 50 mΩ, probably near 10 mΩ. Even at 2 times 50 mΩ (you have to count both pin and sleeve) a 500 mA current will cause a 25 mW dissipation, which is more than acceptable.
Matt makes a valid point about mixing them up with audio plugs, though. The wall-wart probably has a DC jack like this
Why not use a socket for that? These are almost exclusively used for power supplies, so there's little chance of confusing them for something else. Sockets for them are readily available.
The obvious risk is that someone could plug the wall adapter into an RCA jack somewhere else, potentially frying your stereo or theirs.
The next concern would be whether the connector can handle 500mA without getting warm due to resistance in the metal part or in a poor connection between the plug & jack due to surface dirt etc. 500mA isn't a tremendous amount of current, but keep in mind that RCA jacks were designed to carry signal, not power. You might try it on the lab bench and give up on it if you find the connector getting noticeably warm. If you have a meter that can measure resistance down to milliohms try measuring the entire assembly from the far ends of the wire to get an idea how much power it will dissipate (\$P=I^2R\$).
It sounds like you plan to change the plug end on the wall adapter cable as well as adding a matching jack to the lamp. You might as well buy a matching pair of parts from Digikey or similar so you know they're rated for that much current or more.
There are even commercial products around that do exactly what you suggest. Note the black RCA connector on this cheapo satellite receiver labeled "12V OUT =50mA".
It is probably used to power a relay that switches all your other home entertainment devices on or off when the receiver is on or in standby.
I assume they decided to use an RCA connector because it was cheapest for them, and it is quite obvious that you must be extra careful to not fry your audio or video equipment by accidental, wrong connections.
As I said: Cheapo!
The amount of current you can run over your RCA connection depends heavily on the exact type of connector. Here's an example of one that is specified at an amazing value of 16 A. There are others I wouldn't use for more than 100 mA.