Increased pleasure vs. danger? The third choice is: neither of those. It really depends which piercing you're talking about. The main piercing that carries a risk of sensitivity loss is an actual clitoral piercing. When most people talk about getting their clit pierced, they're actually referring to the clitoral hood. For some people, this can increase sensitivity. For others, not. For yet others, it changes over time. It can become increased, but then normalize as they become accustomed to the new sensation of the jewelry being present.
As long as you go to a safe and well-known piercer and be informed about which piercing you want (there are lots of choices
!) there really shouldn't much risk of damage at all.