Because you can’t plausibly do a long-term blinded trial where you take a healthy population and dope them up. The in vitro data is enough to make any institutional review board blanch.
So you have to rely on self-reported usage. Which is incredibly unreliable, and full of confounds. (My bias, my fairly well-informed bias, is that nobody is just doing steroids. There is always another drug or high-risk activity.)
So yeah. Steroids are dangerous. Do we know exactly how bad, especially in comparison to other drugs of abuse? Not as far as I can tell. But bad enough that you should absolutely be wary of steroids. (Also there’s gradations of dangerous. You stay away from trenbolone.)
I don't know that many people in the steroid-abusing demographics (it was less of a thing in my age demographic than it is with the youth of today), but I am aware that it's dangerous.