The "slip" part of the Turn and Slip Indicator (T/S) measures the lateral (transverse) acceleration of the airplane. When the slip indicator is centered, the pilot and passengers will feel gravity directly in-line with the seats; otherwise, they will feel a lateral sway, which doesn't provide the best ride experience, especially if martini spill is involved. Obviously, this is important whether you are in a turn or simply flying level.
In symmetric flight with multiple engines providing the same thrust, a zero lateral acceleration is very close to having zero aerodynamic sideslip. Achieving flight with minimal sideslip improves the fuel economy since sideslip introduces unnecessary drag for symmetric flight. In practice, however, non-zero sideslip may develop because of minor aerodynamic asymmetry, prop wash, and especially if you have one engine inoperative (even with T/S centered).
Having non-zero slip indication in itself is not dangerous. All Part 23 and 25 aircraft certify by performing steady-heading sideslip up to maximum rudder pedal or the limit of their lateral control. When you decrab in a crosswind, you will intentionally generate sideslip. However, an excessive slip coupled with high angle of attack is dangerous as it can lead to potentially irrecoverable spin-stall.