From time to time on the craft distiller discussion boards, someone will post about how easy it is to make your own still. Considering that stills have been around for about 1,000 years, the technology is pretty simple. I know of people who have made their own stills and never had a problem. Moonshiners typically make their stills, often in a very quick and slapdash manner, and usually have more to fear from 'revenoors' than from still explosions and other mishaps.
If you are thinking about buying a still made by a crafts-person as opposed to an established company, the same concerns apply.
First, consider that in distillation you use heat and pressure to make a highly combustible and potentially poisonous end product. The list of things that can go wrong is endless and when they go wrong, they can go very tragically wrong.
Second, consider for example Forsyths, a Scottish manufacturer of stills and other equipment. This is from the Forsyths web site:
Forsyths holds the following accreditations and registrations: