Neon gas is a rare earth element and is a non-toxic noble gas. It poses no threat to the environment because it is chemically unreactive and forms no compounds. The gas is contained inside the glass tube and would only escape if the glass is cracked or broken. The boxes are not marked hazardous - there are many neon signs throughout the years all over the world, neon is not hazardous, so not to worry!
True neon gas gives off a reddish color. In order to make other colors, the neon gas must be mixed with small and sometimes trace amounts of other gasses. For example, mixed with helium the light makes an orange and yellow, argon makes a purple color, and krypton is green.
As with all real neon signs, the biggest risk is breaking the glass. Because the glass is thin to allow the brilliance of the color to show through and is hand blown to create those tight bends in the designs, it is fragile. If the glass breaks it can make a bit of a mess. Not toxic, but disappointing!