I have never heard of it being dangerous before, but if I had to speculate I'd say it probably depends on how you use it: You might be able to take command to end the nightmare but I'm not a doctor or psychiatrist but maybe in avoiding the nightmares altogether you're denying yourself some sort of personal growth or insight?

The real answer is probably: More research needs to be done.

On rare occasion I’ve taken control of nightmares in a Lucid dream state - typically waiking up momentarily and then going back to sleep.

I’m just not sure if the psychic cost of having these types of intense dreams encoded in memory is healthier than just sleeping and not remembering.

A bit plagued by my dreams ( thereby my subconscious ) if I can remember them.

That was the question I guess, I hear the idea I should engage more to remember dreams, but not sure if that is healthy for people to do who have vivid and disturbing dreams regularly (eg. Under attack, people I love getting hurt ect…)

It's probably safe. The very reason I started getting into lucid dreaming was to control my nightmares.