As we know schuko plug are unpolarised plug (there is no distinction between live and neutral, you can plug in either way), will it be dangerous as we all know that live wire carries power to the component and neutral return current to the power station? There can be cases neutral wire of your HiFi component actually connects to the live wire of the power station.
Can someone from Europe enlighten me no this?
No, because there is a 'distribution box' just like the circuit breaker panel you have in your home. This also 'unbalances' the three-phase power for domestic use. This is fed by a 'consumer unit' (in UK systems, I think it has a different name in other countries) which is basically a huge circuit breaker that you don't get to touch - because it's typically somewhere in the region of 100A.
In a UK domestic circuit, everything runs on ring circuits, so the individual plugs require fuses, and the distribution block has a master fuse that might have 20+ devices hanging off it. Schuko uses smaller spurs, so the distribution block has more master fuses, but doesn't require fused plugs because there are fewer devices off each spur.
The fuse in the plug on UK circuits is (at least notionally) there to prevent the power cord from burning (240V, 13A could do that in theory), the case fuse prevents the device from catching fire and the fuses in the distribution block prevent the wires in the walls and ceilings from melting.
There is a possibility of an isolating transformer losing one phase of the domestic supply and still being 110V-115V, but their use in domestic audio is extremely rare in Europe, and this would suggest a particularly unlucky set of circumstances that are about as likely as Elvis winning the lottery.