Besides putting too many devices on a single wall socket, that draw too much power, what is supposed to happen?
Like say I chain ten dividers and put a single vacuum cleaner at the end. Is that more dangerous than plugging it directly into the wall?
Are you talking about extension cords with multiple outlets at the end?
The wire inside the cord could be of unknown quality - typically these can be either really thin copper wire, or aluminum/steel which are not ideal. The cord can get hot under heavy use, and in a worst case scenario, melt and start a fire.
Too many extension cords chained together can cause the mains voltage available at the end of the cord chain to drop, due to the resistance of the wires adding up.
Each individual plug and socket are potential failure points, and like the cord, the materials used for the socket’s contact pins may be less than ideal. The less of these loose points you have chained in any kind of electrical system, the better. The resistance at these points may also cause the contact pins to get hot under heavy use, causing the plug to loosen over time.
Typically the fuse breaker should cut out and protect the wires before anything dangerous happens - but IMO better safe than sorry.
I might have done a poor job of explaining this… hopefully someone else provides a clearer description