simply put, if you execute something as root it WILL be done.
it si OK in most cases but if you slip...
not only net access is dangerous, EVERYTHING is, you do NOT have windows failsave, you are in free fall as root.
if you wish to study some (or sheer bad luck) you can overwrite bios or other as interesting things as root.
of cource in 95% of cases you are OK as root. but if something goes wrong EVERYTHING is affected.
as user, at worst your own settings, files...
so if you fumble with something (like a copy paste of dd if=/dev/urandom of=/), whatever it is will also have root access to the system. or even a malicuois java... may be BAD.
and to make things interesting some (cautious) ISP's block any computeracess by root...