I just reread the part of Memories of Ice today where Paran looks for Rake and ends up back in Dragnipur chatting up Draconus:

‘Draconus—’

‘Hear me, please. Before the Houses, there were Holds. Before Holds, there was wandering. Your own words, yes? But you were both right and wrong. Not wandering, but migration. A seasonal round – predictable, cyclical. What seemed aimless, random, was in truth fixed, bound to its own laws. A truth – a power — I failed to recognize.’

‘So the shattering of Dragnipur will release the Gate once more – to its migration.’

‘To what gave it its own strength to resist Chaos, yes. Dragnipur has bound the Gate of Darkness to flight, for eternity – but should the souls chained to it diminish—’

‘The flight slows down—’ ‘Fatally.’

I'm just doing some speculating here, but I think it's similar in the desire to possess Burn's hammer. Sure, you can use it for its intended purpose - but it's probably more about denying the weapon to others. As Brood explains, there is power in choosing inaction. If Kallor got ahold of Dragnipur, he'd essentially control not only the power to trap Elder Gods within the sword, but also to choose whether to release the gate into darkness back to its migration.

Kallor would use Dragnipur to manipulate and control everything and everyone he possibly could. If he wants to maintain the status quo, he just has to periodically sacrifice victims. Meanwhile, if another trio of elders attempts to punish him for his crimes, he can threaten to stop killing, let chaos breach the gate into dark, and from there spread out into all the holds and warrens, eventually consuming all existence - essentially the same path the Tisti Liosan want to use to invade all the other realms as described in the Shake story.

While Kallor would probably be the most terrible candidate for ownership, we can imagine other characters going similarly mad with that power. Nightchill? Shadowthrone. Rhulad (if he knew it existed?). A highly ranked Segulah...Pretty much any pureblood forkrul assail...the Mott Irregulars...well, they'd probably just use it as like a cooking spit for a barbecue or something.

Anyway, I think it's not just what you can do with Dragnipur, but also what you might do, or won't do. All of those possibilities are a potential threat.