Some people feel that the risk is in using a toy labeled as silicone that is not pure silicone. If the toy is pure silicone, there isn't much of a risk in performing a flame test since the toy won't be damaged. If the toy fails the test and isn't pure silicone, some people would not want to use the toy anyway, so there's no risk of loss.
You should only test the toys if the outcome matters to you, not as just a frivolous experiment. Of course, if someone has already verified the manufacturer/toy as being reliably 100% silicone, there is also no need to test the toy yourself.