FX is not a risky market any more so than most others. In fact, the arbitrary position sizing for ECN/bucketshop spot FX makes it much less risky than most futures markets. The 24 hour liquidity helps too since it makes stops a more effective means of risk control. The only downside of the market from a risk perspective is the poor availability of exchange-traded options for hedges.
The issue with FX is that the majority of the business takes place where the typical retail trader can't see it. Most FX transactions are interbank, and many retail FX platforms provide essentially no volume information whatsoever. Combine that with the standard bucketshop tendency to mess with the price quotes, and the data feed situation is very bad.