The danger being, that if you lose one device (lost/damaged/stolen)... and you don't have adequate backups for the wallet on the "lost" device, your coins will be stuck... but then that is also true of a "normal" wallet as well
You should always keep multiple backups of all your private keys, including one stored in a different medium of storage, and one in an off site location.
You must keep the private keys separate if you want multisig to provide any additional security. This includes backups. If you have backups of your private keys of a 2-of-2 multisig address in a single safety deposit box, anyone who compromises the safety deposit box can spend your coin.
Loosing the device containing private keys without a backup is not a problem unique to those using multisig. If you have no backup of your seed, have coin on your phones wallet, and lose your phone, you have lost access to your coin.