I'm not an expert but if it was a small flash it's probably ok, just the electric sparking across the gap as it makes contact. Flashes you need to worry about are those that smell of burning or make a bang!
If you're concerned at all then take the lead back to the shop, explain that you think it's unsafe and ask them to swop it.
Time to change a habit of a lifetime and turn the mains off before plugging anything in!
Phil Price
June 2015