No. It is not harmful.
When you sleep, your physical body is regenerating. Sleep induces the relaxation of muscles, physiological and neurological response. You go into sleep mode and the physical body responds accordingly.
Your energy or the spiritual part of you then has complete freedom, without the resistance from your physical body, to do whatever it is called to do, including lucid dreaming.
The two elements are separate whilst you sleep. Lucid dreaming does not impact on your physical body. Unless it causes you to wake up and your sleep is disturbed. If this happens, your sleep cycle will be impacted which then affects your regeneration.