I have probably seen about 100,000 autocross runs over about 13 years and hundreds of events and I have witnessed about 6 car-object or car-car incidents. You are about as likely to crash on your way to or home from an autocross.
The only real cone damage I've seen was caused by cold weather. At low temps (<40 deg F), the rubber cones get very hard. If you run over one and it gets lodged in a wheel well, it may rip out some of the plastic crap that BMW likes to bolt in there.