Yes, you can lose a finger if it's between the caliper piston and your rotor. The brakes can wake up and activate based on certain events (starting the car, opening the drivers door, driving through puddles, etc.) So they basically can activate at any time.
It is not recommended to disconnect batteries on these cars, as a number of items need to be reset and adaptation values are erased when you disconnect the battery.
The MB recommended way is to use a DAS laptop to put the SBC (Sensotronic Brake Controller) into service mode so it doesn't activate. But if you do so, you MUST remember to change the setting back to enabled when you're done!
The easiest way (and the one my friend the indy tech uses) is to simply unplug the connector going into the SBC pump under the hood. Once you simply unplug the electrical connector, the system can't activate a thing. Then when the brake job is done, just plug it back in.... no resetting or anything else is necessary.
Takes 2 seconds to unplug and then everything is safe to work on.