No, they're just Pokemon -- there is no way they can cause harm.
The only risk involved with the void glitch is that you won't follow the instructions correctly and will save in a bad part of the map that softlocks your character upon reload. Arceus is the most risky because its routes require the RETIRE glitch, which adds one extra way the game can be softlocked.
If you use an up-to-date route (Darkrai, Shaymin, Cresselia, Arceus) and follow the instructions carefully, then there will be no problems. Remember to disable the Pokemon Centre wrong warp when you're done.