Cat Stevens used to be a famous musician (Year of the Cat and others). He is now a devout Muslim. He tried to get into the US from England last week and was not allowed to stay in the US because he is on someone's terrorist watch list.
In my opinon, it's extremely debatable whether or not he's dangerous. I'd say no because he's always been a pacifist. (I sure hope that, ultimately, I am correct in this presumption).
Anyway, I think Dave tried to say that Cat Stevens is about as dangerous as Weird Al is dangerous. That is, not dangerous at all.
I thought it was hilarious.
Hope this helps.

Tara Lyn