A lot of uses to them.
The most practical answer to why we would have not been allowed to burn them is the nails and haveing the nails be in the bit and a kid play in there a few days later and get pricked.
They do make a mean bonfire though.
Have read of people getting hurt mainly from being stupid.
Ex. Stacking up 10 plus pallets and putting in over 50 full rolls of toilet paper through out the pallets then drench it all in gas including all the paper and light it up...then have your open gas can a few feet away and everything goes up.
You have to be smart.
I still burn them from time to time, they are huge down in the desert to burn.