Threads aren't meant to act as bearings, whether it's the female thread in your derailleur hanger, or the male thread on your cage. One thing that can happen is that that threads cut or wear channels in the mating part and you get friction and wear, and misalignment, and high force, and fatigue, and catastrophic failure. So if a rapid, unpredictable failure possibly at speed is dangerous, then yes, this is a safety issue.

Why won't the RD body rotate on the RD shoulder bolt? I'd disassemble, remove any corrosion (on the bolt and in the hanger hole), degrease the bolt, lubricate the shoulder with grease, put loctite on the threads and torque the thing on. If the RD won't move, shim the shoulder till the RD can move freely. I guess pretty much what Clifford K suggested (tho he used fewer words).

Same with the cage. Presumably, the original bolt with bushing failed. Your are replacing this with an inferior (bolt with no bushing) design, and asking the mounting female thread to be the bushing. I believe that this puts you in the same state of peril as above.

There are just so many things wrong with the setup you have, I have to suggest you replace the RD and bolt (and hanger if you can). Is this a really spendy RD? Could you just buy a good used one off Ebay?