It says that with an IUD if you get pregnant it's more likely that it will be an ectopic pregnancy, and those are by very definition extremely dangerous to the mother and treated as medical emergencies most of the time.
"It is the most common cause of death among women during the first trimester at approximately 6-13% of the total"
IUDs greatly reduce overall risk of pregnancy. The risk is not zero, though. When IUDs do fail, and they will, they increase the risk of ectopic pregnancies. The vast majority of those are located in the uterine tubes. Those are life threatening. There is no space for the fetus in the tube, it will rupture and cause severe bleeding which can and will kill the mother if left untreated. It's an important cause of acute abdomen.
They absolutely do, and it's often life threatening when it happens. It's very unlikely, but it's not absolute protection.
https://www.webmd.com/sex/birth-control/get-pregnant-iud