The problem with introducing new risks to exploration would be the sheer lengths of time and numbers of jumps involved. For example, even if there was only a 0.1% chance of any jump going wrong in a new way, it would be almost inevitable that all explorers would be struck by the problem in a round trip to Sag.A*. Even a tiny new risk of destruction would just render exploration impossible.
I also have an uncomfortable suspicion that people asking for risk in exploration aren't explorers. As I understand it, the attraction of exploration is isolation, relaxation, scenery, the sense of being on a long journey, the possibility of finding new things. I don't know of any explorers who would say they'd enjoy it being more dangerous. I think the whole idea is just one of those "Make other people's gameplay more like mine" things.