Think of it this way, you have been dreaming every night for your whole life. If there were a danger of taking an entity through, it would have already happened. Also, with lucid dreams you are in control. If anything, entities would come through if you weren't lucid. But don't worry about entities. Either the dreams are all in your head and there are no entities, or they don't need dreams to come through, dreams are just how they communicate to you. Lucid dreaming is harmless, fear is the mind-killer, not entities.