It's up to you, I have kept them but they are super tiny and sometimes touchy to keep alive. I suggest a polymorpha as a pet centipede, they are super hardy, big and live for up to 10 years in some cases.
Yeah...if you want a pet pede, a scolopendrid is a far better choice. They are much more active, impressive, hardy, and live much longer. In regards to safety, it is true that centipedes aren't the safest bugs out there, but you're really in no danger, even with something like a dehaani, as long as you don't do anything stupid with it and have some common sense.