Is there any danger in having sex while a penis plug is inserted?. . . .
If you wear a plug and you accidentally bump your wife the wrong way or if you unknowingly come out of her and push your way back in at the wrong angle, which is easy to do it if you're into hard and fast fucking, I doubt you'll hurt her very much at all, but you are more likely to tear or puncture YOUR urethra and likely damage parts of your corpus spongiosum and corpus cavernosa which will result in considerable bleeding.
I wouldn't do it.
If you want the sensation of your penis being plugged and the semen not coming out while you have an orgasm, use a tight cock ring.