Dendrite formation within the battery can also lead to thermal runaway, or any potential design issues / QC issues which cause some sort of short to occur.

I guess charging it (putting in more power) or using it to charge another device is a state change which can cause some of the issues to be exacerbated and pass the safety threshold.

Power banks have become so normal, they are a commoditised product category which compete on price now. That leads to a race to the bottom in quality and corners cut.
(A power bank is basically the battery, a simple BMC circuit, some wiring / PCB and the USB ports.)

I expect such situations will continue to remain very rare — though, every spicy pillow you find in your electronics is a problem which didn’t turn into the worst-case, thermal runaway situation (and don’t continue charging / using those as that worst-case is more likely to eventuate) — but the potential outcomes are so severe if not caught in time, having the power bank accessible makes sense.

(The same situation could happen with any other product with a Li-Ion battery, e.g. the Samsung Galaxy Note 7, but most of those you’ll have out if you are using it and they’re usually more expensive and have more stringent QC around them.)