Hi,

Ethanol burns and if you're unlucky you can create an explosive aerosol - but small quantities with good ventilation in a big room are usually no issue.

The trouble starts if the quantity is too large to evaporate rapidly so you end up with a pool of highly flammable liquid or if the machine is in an enclosure or small room with bad ventilation where explosive concentrations are easy to create.

The cost for pure ethanol is mainly a question of taxation - there are no cheap sources for alcohol in food-safe quality. But purity is not an issue for machining.
From a health point of view it is always good to minimize exposure to any vapor - but if you only have the choice between alcohol and other coolants alcohol will usually be the lesser of two evils.

So... be aware of the fire and explosion hazard, keep a suitable fire extinguisher around and never let the machine run without supervision.

Christian