I just got back from my club. I workout in the mornings and most days I will sit in the steam room for a while. After I got out today and was sitting by my locker one of the guys told me I shouldn't stay in there too long because it isn't safe. I've never heard of it being dangerous, it always makes me feel better.
I think it largely depends upon preexisting conditions (Doctors please correct me if I'm wrong). I guess any time you are hyperthermic for a good while, you're risking a heat stroke and dehydration. Just be sensible, I'd say. IMO, you'll know when you've had enough.
The steam room is only dangerous if you stay in it too long and is too hot. Usually you lie/sit in it for at least 15 minutes, take a 5 min break then go back in. At the most if you overstay you will probably very weary, probably be a bit dysfunctional.