Unless you know how to control the risks then even handling this type of bulb is plain stupidity. As Andrew Gabriel pointed out some of these things (but not all) are under considerable pressure even when cold. The risk of them decompressing may be very low but the consequence is very high - should it happen you almost certainly won't be telling the story here.
I work for a major manufacturer of video projectors (not Sony) and have a lot of dealings with lamps of this type. That "easily-changed cartridge" will also be a heat sink and explosion container. That's the manufacturers way of managing the risk during use.
During lamp change you need to manage the risk yourself: ALWAYS make sure the lamp is COLD before starting work. Not been-through-the-cooldown-cycle cold but been-off-for-hours-and-not-even-warm COLD. This both reduces the chances of a decompression and reduces the power should it happen. Read and understand the COSHH sheet for the bulb. If it says to take precautions against explosions it means it. In our lamp room that means chain-mail, full face masks and gauntlets. Should the worst happen, and you survive, don't breathe the dust or attempt to vacuum it up unless your cleaner has a HEPA filter.
Take it from someone who's been next to a lamp when it went bang, the minimum you'll need is a change of underwear.
Surely if they were that dangerous, they (a) wouldn't be sold for use in a consumer environment and (b) would not be marketed as user replaceable items? Sure, they can go bang, so can CRTs and to much more dramatic effect. Provided you're not a dick when handling them, and observe the precautions (i.e. be wary of burns etc) then you should be fine, otherwise manufacturers would be opening themselves up to a lot of potentially expensive lawsuits!
Hellraiser..............>