If you use a low quality motherboard with low quality VRM's and a CPU with a high TDP (like 125w), and that motherboard was released before said CPU was released you can have an issue. The board might get an updated BIOS but can't really support the CPU because the VRM's will be overloaded.
VRM death can be fast or slow. It'll be fast if you shove volts through the CPU and up the clock on a poorer cooling solution. It can be slow when the VRM's just start dying of old age.
Generally they just pop and short with a spark, but sometimes they can catch of fire.
In OEM PC's and motherboards of decent quality it's generally not an issue.