The walk itself is not particularly dangerous. There are some places where the path passes close to a cliff face and such. But those aren't really dangerous places. The path isn't that close to the cliff face, and it's a decent path at that point.
The danger is that is the path is not frequently traveled and there are places where it is not clearly marked. So: 1) you're not likely to run into people who can give you advice; and 2) you can get off the path into places that might be dangerous.
I have done the walk from Aghia Roumeli to Domata by myself a couple of times. It's a beautiful walk. And it's unlikely that anyone will bother you at Domata. You just need to be careful that you are on the path. If you get off the path, go back to where you're sure you're on the path again. And figure out the correct way forward.
A few years ago, a friend started out with me, but turned back after a couple of hours. Shortly after turning back, she got off the path, and got seriously lost. Finally, late in the afternoon she found herself near the higher of the two forts behind Roumeli and came down the path from there. Fortunately she was familiar with the general area and recognized where she was when she was in the area of the fort.
In sum, you don't need a guide if you're careful. And if you have a general familiarity with the area. As with most places in Sfakia, it's easy to know the general direction of things, and your location is constrained by defined geographical features - gorges, the mountains, the sea. But you do have to know where the paths are to get down from the high plateaus into the gorges and back to the communities.