If any part of the device is made of metal, make sure your tetanus shots are current; also be aware that chafing, loss of circulation and blood flow may become an issue. Make sure to thoroughly clean/wash the device before initial use to get rid of possible chemicals (which can be carcinogens), and make sure to clean it thoroughly after each use for hygiene purposes. You might also want to do a web search of the base material itself to see if you can turn up links regarding hazardous effects on the human body; in addition to reviews of the company. It sounds like it might operate as a more restrictive version of a cock ring. So if you're able to become highly aroused without direct stimulation of your genitalia, you're liable to experience extreme discomfort when you expand, and come up against an unforgiving chastity belt instead of something with more give--any blood that flows into that area will more or less be trapped, which can be hazardous to your health if it remains there for several hours (same principle as viagra perma-stiffy complications).
For an occasional treat, it may not present any problems, but I'd be very cautious before making it a common routine. I'd also highly recommend discussing this with your doctor.