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.