The main concern is the dust. That's why many breweries keep their mills in separate rooms and auger it over to the mashtun. How big of a concern can it really be at our scale? We still need to pour the grain into the tun which throws up dust.
I believe that commercial breweries are required to separate their mills from the rest of the operation as the airborne grain dust has a low flashpoint and is a theoretical explosion risk. One local brewery that I've toured here was required to install blast proof doors on their milling room. I know Chicago has a particularly stringent fire code, but blast doors aren't typically required just cuz their cool.
The same is true here in Dallas. Large cities with large bakeries or milling facilities are likely to have these kinds of rules because producing flour creates a higher risk of grain dust-induced fires. The same rules are applied to breweries because the local regulators do not see a difference between one type of milling and the other.
Grain is often stored in a different area from fermentation vessels in commercial breweries but that's not due to any explosive concerns. More likely because it's easier to clean that area with liquids without the fear of ruining bags of grain with water, beer, or cleaners.
On a homebrew scale I don't see a problem unless you have post-boil wort/beer exposed in the same place where milling is going on where grain dust is actively kicked up and will fall into the exposed wort/beer.