On one hand, this is an Overlord RP so the chances of our characters facing an actual threat is slim-to-none without a lot of self-imposed restrictions like minimizing collateral damage or something. On the other hand, therein lies the possibility of PvP via World Artifacts or some such, not to mention unlike in the anime we're level 60 and not 100. While there's still not a lot of things in this world that would be of any real threat, there could be if they're smart about it.

To put it in perspective, we're effectively the monsters in your typical D&D game. We have completely busted skills and abilities no PC's can truly get. But that doesn't mean a party of PC's can't defeat us if we're careless or if they properly prepare to deal with us. I vaguely remember that one of the Nazarick maids actually was in danger of really being killed by one of the new worlders, albeit one of their strongest mages, so it's still possible. So if the new worlders are willing to cheese us via mechanics that is unique to their world and not ours (Martial Arts for example), there is a chance they could win that we might not foresee.

But that's also why some of us have been sent out to scout the world and figure out what it can and can't do. Nothing more embarrassing than getting your Overlord on and getting wiped out but what is actually an industrial-like magitech verse.