It happens that I am a native of Shenzhen, and indeed we avoid those "illicit vehicles" (or "black cabs", hei che 黑车 in Chinese) at all costs.
The perceived risk is that they might demand exorbitant fees from you when you eventually arrive, or are half-way. Only God knows what will happen if you refuse to pay them anyway. It might be keeping you inside the vehicle, throwing you off in the middle of nowhere, or even kidnapping, or even worse than that.
ADDENDUM: There are actually two types of "black cabs". The first type do not conceal that they are operating extra-legally, and demand high fares (up to 5-10 times of normal cab fares) upfront. Those usually do not expose you to too much risk (of course, unless you refuse to pay after the ride), besides rudeness, dangerous driving and overloading. I have never had good experiences with those vehicles, though (the vehicles can be very sketchy and overloaded), and I recommend against them unless absolutely necessary.
The second type of "black cabs" are what you have mentioned. They claim to be metered taxis, but are in fact not. (Many of them operate using junk taxicabs which have been retired, purchased from the black market, or using modified cars with rigged meters obtained from the black market, and with fake or forged license plates.) Those are outright illegal, and are known to extort passengers for exorbitant amounts of money. If you refuse to pay, they may lock you up inside the vehicle or throw you off in middle-of-nowhere (forget about getting another taxicab); personal injury is also not unheard of. The police can't do much about it, because of the large amount of operators involved and the difficulty to track those vehicles. Avoid those at all costs; if you ever get in to one of those vehicles, you basically can do nothing but pray for the best.