I used to dye my hair a different color every two or three months. I never used "bleach" or blonde colors, but every hair coloring product I've ever used has said not to put it directly on your scalp. I don't think there's a real danger in it. I think the "warning" is there to protect the manufacturer just in case someone has a reaction, because it is a chemical so there's going to be some level of risk in skin contact. I think the risk is probably minimal.