Holding the slide is a good way to not allow an aggressor with whom you are struggling be able to get off a second shot should he manage to fire while you hold the slide. No doubt this is not the safest thing to practice, but the injury potential is not from a gunshot wound. Like so many other types of preparedness training, doing something once and knowing what it takes should you need to do it in the future can be really beneficial. People tend not to try new or innovative techniques during an actual struggle/combat situation. If you don't know you can do it, then more than likely you won't try to do it in combat.
As for the injuries people have suffered, if you hold the slide tight enough, then it should not move. If you don't hold tight enough, then it moves and the front sight digs into your hand or fingers.
I have done the drill a couple of times. It isn't pleasant as you will definitely feel some sting, but not enough to not be able to use your hand. As near as I can equate it, it sort of felt like slapping concrete a little too hard with an open hand.