I think it is outlandish that they suspect that it is something that can potentially kill you.
The only threat I can think of is if the fan was pointed straight at you and while you sleep as you turn and rotate the wind could be angled towards your face impeding you able to breathe in air.
It also acts as a way to ventilate the air and have a constant airflow preventing any gases building up. The only problem could be if the motor of the fan is overworked or ignites for some weird reason but that seems unlikely but it is probable.
It seems like it is something which is endorsed by the South Korean government and I'm not sure if it is supposed to be a gimmick to reduce energy use in the country.
South Korea is known for it' progress in technology and its beautifully lit up city with many illuminating billboards.
I'll have to look into it more I guess @thecryptofiend
I think this one of the things that interests me most about this belief in that South Korea is possibly one of the, if not THE most technologically advanced country in the world, so it is an interesting contrast. That said, we are all prone to superstition as human beings no matter how logical or rational we are.
It seems like it is a widely accepted belief and it is hard to take away or dispute the incantation and superstition instilled in the mind of the masses.
Truly amazing how superstitions can have such control of our lives toying with how we live our lives and inevitably restricting us due to some folk tale, but as many say: it is better to be safe than sorry.