stackheight is too large (threaded headset)

Also, does anyone know what the danger might be when the locknut isn't tightened enough?

Couldn't say for sure, but it sounds less terrifying that riding a bike fitted with a headset that has had bits ground off it. A loose headset is pretty easy to notice as you'll get a clunk every time you use the front brake. If you're worried about sudden dramatic failure then go and spend less than £20 on a Tange Levin (which has a 33mm stack height vs. 39ish for Record Strada) and try that before grinding anything off anything else.