Yes. Anabolic steroids have serious emotional and physical side effects and should not be used for any non-medical bodybuilding or weight gain. If prescribed for a medical problem you will need strict medical supervision.
Yes. There is harm in using any prescription drug without physician oversight. Anabolic steroids are prescribed in cases low testosterone (from hypogonadism), and often for hiv+ patients to help preserve muscle mass. Without a prescription, you not only risk complications of the drugs (there are many), but face serious risks inherent to 'black market' drugs, where there is no quality assurance.