If there is a catastrophic falure of the GSD it will not lock up or anything, you will though loose forward momentum (or reverse). As much as the DSG has its "working" faults it is quite good in safety. A major falure will see the clutches automatically open resulting in no drive. If it is not fatal the gearbox will go into limp mode (like what gavs has) and operate on what it still can "safely" (whether this be odd or even gears only).
If you are taking off and it fails well your pretty much dead in the water but in most drving situations it will go to neutral and indicate on the MFD a failure. As your car starts slowing down I would pull over as soon as possible.
I would only find it really dangerous if you were pulling out onto a really busy road and then died, quite a possible chance of a crash. Having said that from what I have seen and slightly experienced myself these problems only really occur when the gearbox is under a serious load (in gavs case going up a hill at 80kmh) or in my case slamming it into sports and flooring it to make it through the lights xD)
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