From the game's encyclopedia
On your Travels you might pass through dangerous lands, for example deserts or swamps, that might impede your journey.
You can mitigate the risks of Danger by improving your Safety. You do this by investing in Travel Options or by hiring a Caravan Master.
Several Cultural Traditions reduce or remove the risks of certain types of Danger.
The game's text for patch 1.20.1.2. Words in blue are entries of the encyclopedia: hover one to read it, as in the game.
Danger is an entry of Crusader Kings III's in-game encyclopedia. The game explains it: "On your Travels you might pass through dangerous lands, for example deserts or swamps, that might impede your journey." It is part of Travel. Patch 1.20.1.2, from game/common/game_concepts/04_ep2_game_concepts.txt and game/localization/english/game_concepts_l_english.yml.
Source: game/common/game_concepts/04_ep2_game_concepts.txt, game/localization/english/game_concepts_l_english.yml and the English localisation, Crusader Kings III 1.20.1.2.