Actually people do die from stem cell transplants.
"Stem cell transplants are not without risks; although treatment methods, patient selection and after-care have reduced risks, clinical trials since 2001 have still had treatment-related death rates of one or two people in every 100 (1.3%), according to analysis by the European Group for Blood and Bone Marrow Transplantation. The majority of deaths were due to infections." -
Source
Every time we do something to our body there is a real risk of dying, 1,3% doesn't seems that high, but when you think about the consequence of dying its quite high. And like its stated majority of the deaths were due to infections, so its something that can happen all over the body which also means the scalp.
And its not to try and do some fear mongering here, but the risks are real, and of course those risk won't always be advertised all over the different clinical studies.