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Ok, I'm going to step up to the plate here. I'm an experienced butt stuffer. There are two main safety concerns -- having your body move things further in than you can retrieve, and unsafe materials giving you ass cancer.
You've probably heard the adage, without a base, without a trace. In essence, your pelvic floor muscles will move objects around without you being aware or being able to stop it, and it can make things very difficult to retrieve. Your rectum is actually split into two by a muscle known as the inner band, which technically isn't a sphincter but is in practicality. When we squeeze stuff out, we're compressing the bottom half, squeezing the band and loosening the anus to push stuff out. If something untethered or without a base makes it's way into the upper half, you're not just going to be able to squeeze it out like when you shit, it's in the wrong place for that. You're in for an anxious fishing trip or wait, or a very embarrassing er trip. And this movement isn't something that happens by accident, your rectum actively moves stuff back up if it's not expelled.
Second, material safety. In the US, it's perfectly legal to sell toys that aren't body safe. I don't recommend plastic for anal use at all. Silicone is safe, but it has to be platinum cure or medical grade. These use platinum as part of the silicone curing process and is incredibly resistant to breaking down, which tin cure silicone will do. So, even a silicone egg with a tether might not be safe for butt use.
Ultimately, I honestly don't think vibrating butt toys are all that great. I highly recommend getting a "big" (large as you can fit) squishy plug like a square peg egg plug or a topped toys gape keeper and doing kegel exercises with it in. That's been far better for prostate stimulation in my experience.