I run Puppy as a frugal install on a seperate ext2 partition on my HD. Running as root as such shouldn't be an issue as the entire OS runs in your RAM and if you screw up then you just don't save the session and it's as if it never happened once you re-boot.
1) By default, Slacko Puppy (at least) auto-saves every 30 minutes, so to be on the safe side it's best to set this value to 0 (never auto-save) and just save the session yourself whenever expedient.
2) Again by default, you are not given the option to discard the session when you shut down. This, I agree, is a serious oversight and to fix it to prompt you whether or not to save when you shut down you need to edit a couple of files (details of which can be found on the Puppy Linux forum). But I guess anyone savvy enough to do something stupid on the command line will not find this a problem.
If you have security concerns about running programs as root, it is now pssible to run anything as a pseudo-user called Spot (cute, eh?) which does not have root priviledges.
Were you to run Puppy as a full install from your hard drive (which would only be advisable if you had insufficient RAM to run it frugally) then, yes, it could be a problem.
While on the subject of oversights, there is no automated update for Puppy; you have to go to the website and download patches, fixes etc. manually. For me, though, this is more of a feature than a bug as I normally use my net book on the move with a 3G dongle and I don't want to be prompted to download system stuff while I'm paying by the meg.
I hadn't spotted LF's assessment of Puppy. Naturally, I don't agree with it, but then it's all a matter of personal taste. Everyone seems to love Mint, for example, while I find it overblown, clunky and far too M$W-like.