Welcome to the forum FurioM! I can promise you (atleast if you don't usually walk in your dreams) that you won't jump out your window. :p

For SP, yes, it is scary. It partially happend to me just a few days ago, but i managed to move my foot and get out of it before it really started. However, this condition is extremely rare. Many people say that it might happend 1-2 times in your life if you are not a person that gets them frequently (and you know if you are one of them). So don't worry mate, this is a natural and not dangerous activity.

Have fun!