Danger is relative. It's a little more dangerous to have sex in a pool than on dry land because: you can drown in a pool, you can end up with a sore vulva and vagina afterwards because water dilutes the natural mucus lubrication, and you can end up on youtube because many pools have video surveillance to help prevent little kids from getting hurt or drowning. Other than that, sex in the water is ok (dolphins do it).
Not so good for gals. I hate to be sexist but in this case it is not so good for the gals. Pool water often has much chlorine, more in public pools, and it can irriate the vaginal mucosae as well as inducing a "chemical douching" thus can increase risk of infections/vaginitis etc... As you know, douching is not recommended. So be careful. Sorry but: dolphins do it does not mean hauman should. Good luck.
No. There is no problem with that.