So, let's speculate about future Story developments (SPOILERS!!!)

[Nalien]

We have a subplot about Nanamo being in danger, but we already assume that she can't actually be in any danger, so there's no real tension.

This is only an issue for us because we're over analyzing the story in a speculation thread. People who haven't touched Culinarian (or this topic) will not have made the connection that she appears in that questline and thus can still see her in danger. People who have done the Culinarian questline could have plum forgotten her involvement in it and be in the same boat. If you're going to speculate towards the story, you're going to remove some of the tension in the story.

Honestly, the fact that this is a MMO does more "harm" to the potential story than the Culinarian quest; We know for an outright fact that Ul'dah is basically going to return to the status-quo after these events. The Immortal Flames will still be there. Omega wont raze the city to the ground. The fact that the city is home to both a housing ward and Grand Company make it pretty much safe from any major change. Any changes will be relevant in cutscenes and perhaps a few choice pieces of dialog, but other than that, this is an MMO and Ul'dah is a starter city.

Good story-telling requires the characters we love come to harm sometimes. Otherwise, there's no suspense.

Plenty of novels build suspense without characters coming to any physical harm. There are still plenty of people who could die anyway, though I have no idea why anyone has to (other than perhaps Teledji) for Ul'dah to undergo any changes. There should be enough suspense and dramatic tension in part 2 when the Dragons start attacking Ishgard and we're powerless to do anything proper until Heavensward is out...

Really doubt they'd even play another death so soon after the last one... They can still build suspense though, honestly just killing someone off is a fairly lazy way to build tension in the story; Look how well it worked in part 1...