I think your questions boil down to 2 :

1. Boot KNOPPIX to play around the local HD(and its data). This is unfortunately true and it should not be a concern as allowing someone to boot something from floppy/cd already opens the door, this is not just a KNOPPIX issue. There are some single floppy rescue linux image on the internet which in the proper(inproper) hand, can do anything on a harddisk.

2. attack from the the net. This should not be a problem for KNOPPIX as it doesn't start any server so all TCP port are closed(the equivalent of behind a firewall).

So KNOPPIX by default is safe. The biggest security issue with it is it has an unlocked root so anyone with enough linux knowledge can use it to gain access to whatever machine and start servers which can invite trouble. If you want to distribute it in a typical environment like school, I would advice you to remaster it to lock the root access(through password). If you use it at home, the biggest security concern is the person in front of the machine(you have the choice to wipe out the harddisk or start servers, or not), not KNOPPIX