Points to ponder ...
Like many of the activities we have worked on, baking does contain an element of risk, but, properly managed, there's no reason why this, like the other activities, can't be a safe and enjoyable task.
The main risk, of course, is in using a hot oven. Te reduce this risk, you could have an adult place the trays into oven and remove them once the baking time is up.
Another risk to consider might be allergies or intolerance to certain ingredients, but it is normal practice in a nursery setting, for example, to have some knowledge of allergies and intolerances so that, if necessary, the task can be adapted accordingly.