I believe Steve was referring to concentrated hydrogen peroxide's tendency to spontaneously (and rather violently) decompose to water, oxygen, and heat. Basically the same thing that happens under controlled circumstances in the jet pack. But uncontrolled, yeah - it could go boom from overpressure.
If you added a little hydrazine to the mix, then you'd have basically the same rocket fuel that the Germans used to fuel the ME 163 Comet. Seriously dangerous stuff, but powerful as hell.
I've seen hydrazine and 30% peroxide mixed just once... It destroyed an open 200 ml ceramic crucible in a single, very *loud* detonation.
Still pretty amazed that the dude made it across. I wouldn't have thought he could get going at top speed so quickly. Clearly he's been practicing with the thing...
Adam