Lots of people use velcro to help keep things in place in hedgie's home. The one thing to be worried about with items like that is the threads. Hedgie toes could get caught if he/she happens to pull one loose while burrowing. But.... it says that it encourages burrowing so maybe all the seams are on the outside. All in all I wouldn't say it's totally unsafe.
I agree it doesn't look safe. One way to check is if you are at the store and they let you open it there you can see if the seams are exposed. If they are you'll want to stay away from it. The majority of things at Petsmart and Petco have exposed threads and seams.
With some of the fabrics used it wouldn't work well to just cut them and keep an eye on them, especially if you have a digger. Some of the fabrics they have in the inside of their things is almost like a super light weight cotton and if you cut the threads it just unravels more with little effort. That kinda of fabric needs the seams rolled into a french seam if its going to be exposed but I've yet to see anything like that at the pet stores because it takes more effort for the manufactures to do it that way. The thin fabric makes it easy for the toe nails to go through it even if they are short and snag. You can always check the product out though while you are still in the store to see how the inside is constructed.