Yeah, I've only heard of a couple of instances where a "cuke nuke" actually took place despite knowing multiple instances of cucumbers ejecting either a toxic fluid, their organs, or their cuvierian tubules, so it's definitely not a common event (at least not with sand sifting species). That said, keep in mind that the toxicity varies from one species to the next, and some species are more toxic in certain ways (some are more toxic when they expel toxins in some way, others contain more toxin in their body wall, etc.), and various circumstances (such as water volume, skimmers, running carbon or not, etc.) about the aquarium they're in can determine how much harm the toxin causes.
Personally, I'd say they generally seem pretty safe, but you need to be aware of the (relatively low) risk and have a plan in place to handle it if things go awry.
The cuke nukings:
https://www.reef2reef.com/threads/anemone-toxin-sea-cucumber-toxin.925354/https://www.sciencedirect.com/science/article/abs/pii/S1557506321000483An instance of ejecting a fluid (nothing seemed to have been harmed in the tank, but this stuff is reportedly toxic):
https://www.reef2reef.com/threads/new-black-sea-cucumber-red-stuff.965270/