That's a thermostatic valve, a mechanical device which closes when exposed to heat and opens when cool. As the hot steam enters the radiator the air inside escapes through the valve. Once the hot steam reaches the valve it shuts, trapping the steam inside. As the steam cools it condenses and the resulting water returns through the pipe, while the now open (because it's cool again) valve allows air back into the radiator.
The trick to that particular valve is that you can adjust how large the vent opening is. Typically you have multiple radiators in sequence, which means the one closest to the boiler fills and shuts off first. Increasing venting on the end of the line (and/or restricting it at the start) allows the radiators to fill at the same rate, hopefully balancing out the heat. (Or unbalancing it, if you want a particular room cooler.)
It's not dangerous because steam radiators use only thermal rise and gravity to move the steam around. Somewhere in the instructions it will state that it's for use only in low pressure applications.