Here's a quick video about the risks associated with a specific peptide, Melanotan II (MT II).
As a side note, this channel is a good resource as the author sticks closely to the documented research and gives a realistic, if somewhat sceptical, picture of different peptides; no hype.
Remember in Jay Cambell's book that Melanotan I was actually a better option than Melanotan II in terms of side effects, which is interesting since the former is actually harder to come by these days. One idea given, which I think comes from some black esotericists FWIW, is that melanin is an important spiritual molecule, which Jay agrees with on an anecdotal basis. It makes some sense in terms of increasing the proteins in our body, particularly ones which process light. Who knows?