Lapland is no more dangerous than any other European wilderness area and there should be nothing to worry about. Local wild animals know to avoid humans and walking in groups is a good deterrent for this. Should you be worried about something during the trip, don’t hesitate to talk to your guide for advice.
In addition to this, the only thing you should be worried about is personal safety on the skiing hills and dressing warmly to avoid illness. For an example on how to dress well in Lapland, check out this video.