These compounds, NOx, proceed also from diesel engines, heating, industry, and they are classified as dangerous for health. Carrying nitrous oxide for boosting the power of an engine, as any bottle of gas, with pressure on it, it could be tagged as risky. Driving a vehicle, of course it's very important to be worried about accidents thus a good policy is to avoid carrying dangerous objects. Fuel itself is very problematic.
Furthermore, there's the already mentioned environmental concern. Nitrous oxide creates a yellowish fog and acid rain. Nitrous oxide is N2O, so two nitrogen atoms and a single one from oxygen. NO2 is four times more toxic than N2O and it could be derived from it via oxidation, due to the presence of VOC (Volatile Organic Compounds) in the atmosphere. This is a cause of photochemical smog.
EPA from the USA warns about the time that a molecule of N2O stays in the atmosphere: 114 years. It provides another relevant datum about the greenhouse capability of N2O, 300 times more than CO2.