Physical Danger
So, is being a gun store owner dangerous? You mean, apart from being surrounded by deadly weapons? No, aside from that it's a walk in the park.
Remember that running gag from A Christmas Story where Ralphie keeps telling everyone that he wants a Red Ryder, carbine-action, two-hundred shot range model air rifle, and all the grown-ups keep warning him that "you'll shoot your eye out"? In your line of work, that's the least of your worries.
From mishandled ammunition shipments to jammed cartridges to faulty triggers, there are a wide variety of equipment issues that can cause serious injury. There also seem to be quite a few more gun store owners getting shot or shooting people than in other retail professions (source).
The good news is you're not going to be allowed anywhere near a gun dealer license without demonstrating that you know proper safety procedures. We're sure you'll be okay with this—after all, it's hard to build a customer base if they all get shot the moment they walk into your store.