if you stay s on,via htcdevs unlock program,it is pretty safe. with htedev unlock you only have access to system,boot,and recovery and it is next to impossible to permantly damage the phone with a software flash to those partitions,as long as you are careful and only flash roms for your phone(the one XL crowd found tegra 3 one X roms will kill their devices,but thats a slightly complicated explination)
be aware that htcdev does leave a watermark that you have unlocked the phone,and rom flashing procedures are slightly more complex. taking the next step to s off makes things simpler,and lets you eliminate the watermark,tho it does make vulerable parts of your phone like the radio and hboot,accessible,so youll need to take caution what you flash and why.
give it some thot,do some reading,ask more questions if you dont understand something- rooting/unlocking is not for everyone,and you need to be prepaired for whatver consequences there may be.
having said the above,im not a fan of sense either. ive pretty much always run cm roms on my phones. however,doing so does lose some of the features of this phone- beats,boomsound,and the camera are all gone with AOSP,so the user experience is quite a bit different. these days i tend to stay more or less stock so i can enjoy the phone to its fullest potential