"Booting up" [suspicious device] isn't really a security risk. It's it's own hardware with no access to anything else you own.

Plugging it into your PC, which this one seems to almost require, is the dangerous part of course, but not any more so than plugging in any other USB device. The fact this runs Linux is essentially irrelevant. A promotional USB stick, charging cable, battery bank or whatever other USB gadgets marketing departments throw around these days could hurt you just as easily.