We have been using this software for last 4-5 years and till now we didn't get any problem but we also believe that using it's volume above 125% may create damage to the speaker.
May be that's why, in it's new update VLC has restricted it volume level between 0% to 125%. [although it can be increased]
if any one having any problem from this software, you can also try SMplayer as an alternative.