Generally speaking not worried at all.
Mainly two reasons;
-Use known brand batteries.
-Use specific batteries for specific applications.
Almost without exception lithium battery explosions can be traced back to catastrophic user error. Usually, using a crappy battery, OR pushing that battery to far past it's design specifications, like using an INR battery rated for max 1-2A discharge, and trying to draw 20A from it. Or worse yet, an XXXXfire battery.
In this case it was unregulated, mechanical mod. As a vaper, I personally don't feel comfortable using any batteries that aren't rated to at least 20A discharge, preferably 30A.
Of course anytime you store power, there's risk involved, but the fact remains that there are literally BILLIONS of lithium battery powered devices out there, and very statistically insignificant accidents.
The danger lies with using crap batteries, crap chargers, and last, user error.
Vaping seems to be on the news forefront because of how hard it pushes the batteries... use a calculator...
Ohm's law | Steam Engine | free vaping calculators You'll see at say .25 resistance, 3.7v, 75W, you're asking well over 20A of draw from your battery.
Want to reduce risk? Use a known brand battery, designed for high discharge, like 25r's for example, bought from a known company, and use a regulated box mod. At this point there is really no good reason for someone who vapes, to continue to use a mech mod.
