I ate one when I was a kid. Still have my nose and ears.
My guess is that the danger would be in handling and butchering it -- not after thoroughly cooking it...
~~~~~
For a real clown act, I sometimes release my granddaughter's 120-lb Husky/Lab mix after one he has alerted us to in the yard. About the time the dog catches up to him, the 'dillo will duck, reverse directions and scamper back between the dog's legs. By the time that lumbering beast of a dog has braked and reversed directions, the 'dillo has hot-footed it a long way toward cover. After two or three quick course changes like that, the 'dillo most times has made it to safety, and I have quit laughing enough have the dog leashed again.
A couple of times, I have seen ol' "Balto" "lose it" on the dewy grass on his turnarounds and go tumbling out across the yard -- but, if he ever catches that critter, you can hear the "CRUNCH!" clear across the yard...