All the parkour I do is at ground level (no rooftops), but even still running and jumping at walls can be dangerous if you slip. All of my injuries since starting 7 months ago have come from slipping on a thin landing (like a rail) and banging my shins on it.

That being said, the great thing about parkour is there are no rules. You can practice only at indoor gyms if you like, or do slower movements. Personally, all the jumps I attempt I'm 95% certain I can do them.

So, yes, it can be dangerous, but at the end of the day it's your choice in how you practice. Feel free to e-mail me if you want to chat more :)