It may not be unsafe but still worth considering.
Laws are not made equal. Even in the U.S., they vary from state to state, so you can imagine the deviation when you cross the border. Some countries are welcoming to unwed couples, solo travelers, and the LGBTQ community, while many are not. These are serious considerations you need to take while planning your travels. Begin with this short, non-exhaustive list of countries that have laws that can land unmarried couples in trouble. As you will realize as you read further, foreigners are often not prosecuted as harshly as citizens, but you should still be cautious of local customs and laws.
What about divorce? It's hard to believe that so many people will marry without sex and then find out they're incompatible. They force them to spend the rest of their lives together? Or, can they get divorced?