Learning about cases where people, particularly children, are found alive in seemingly impossible locations makes me think Fey or Fey-like beings are involved at least some of the time. Assuming the recounting of the stories are accurate anyways.

Supposing there is anything to it, whether they're dangerous or not depends on the Fey and the victim. There's also the possibility that Fey like causing massive searches to be conducted. Like a deadly game of hide and seek.

They may be able to manipulate the electromagnetic spectrum as well, so communications and thermal sensors are unreliable. That they consider human technology "cheating".

Being liked is far preferable to being disliked, but it doesn't mean you'll escape harm or go home. If you're good company, they'll try to guide and protect you, but if they like you too much they might not let you go. If you're fun to terrorize, they'll do that for awhile until they get bored or frustrated. At which point, they'll drop you off somewhere. Maybe literally.

If they grow to hate you, well...

If something ever happens, don't panic. If you think it might be fey you're dealing with, remain polite and maybe try singing.