So my question, what exactly they can do with those documents? Could it hurt our life or finance?
Yes, maybe. They can use our identity for some criminal actions, even scam other people. I think we should only do KYC if it is really necessary. Never do KYC for a few of dollars from airdrop. It's not worthy.
Yes, you are right we should not do KYC for Airdrops because they will share very tiny amount of money, better always look for the potential bounty which has the ability by promoting their bounty. So it is good to do KYC for bounty because at least we will some coins for that we need to verify our identity.