Maybe the finger/safety concern is bc if thinking it does not break as cotton would, combined with safety cautions over babies getting little fingers or toes wrapped in loose threads. I've seen recommendations that if you can't determine the reason for a baby crying, to check their fingers and toes for tight threads. It seems that if a baby or child is crying with pain, you'd be checking from top to bottom, but I guess not everyone does/has, so they've put this warning out. I wouldn't be any more concerned over it happening with poly than with any other thread.
If you're fiddling with a loose thread on a comforter, would the fiber content of that thread make any difference? It's just hanging there, so gets twirled. Some people do that with their hair.