Ive done injections and never had a problem. 

Question is: Is the only thing that goes wrong with injection is infection in the joint? Or what else can go wrong with an injection?

Depending on what you inject with, it can break the cartilage down over time. But that's usually only injecting a lot and I've talked with many different vets that say they've never seen normal - every 6 months to a year injections break down cartilage. 

with any joint injection, infection is a risk

You can also get sterile joint flares which are not septic but a local inflammatory reaction that causes a lot of pain

The reason why some people think steroids can cause cartilage degradation was from a couple old papers about methylprednisolone (Depo, the most potent steroid and the most widely used because of its efficacy).  New research has shown that triamcinolone actually has some cartilage protecting benefits.  The difference is, Depo is potent and lasts longer. Triamcinolone starts working faster but doesnt last as long. However, that's why you see triamcinolone used in high motion joints like fetlocks, coffin joints, and stifles, and depo used in low motion joints like pasterns and hocks.  

Other things I guess that could go wrong with a joint injection is lack of response/failure of response due to the injury being elsewhere.  OR failure of response from the injection missing the joint...which can happen, especially with hocks because you basically have a needle sized hole to put the needle in, unlike a stifle or a knee where you have a huge target.  One last thing I can think of is owner expectation of what joint injections can do... like if your horse has severe arthritis in a high motion joint, your response to therapy will be limited. or if you are injecting coffin joints but fail to correct palmar angles, you may as well squirt the injection on the ground. 

Ditto

Does the sterile joint flares swell like a joint infection?

How do you tell if you have a sterile joint flare?