Actually, I think delegating your steem power is pretty safe because you still have ownership of your steem. It is kind of just like loaning someone use of your steem so they can reward people that use their application with a larger reward with their vote. In exchange for borrowing your steem the applications can reward you with tokens and upvotes on your posts.

At some point there should be a token market where these tokens can be exchanged for steem or other things. (By my understanding.)