How easy is it to explode a tubeless tire whilst seating, and how do I avoid this?

how afraid I should be of having the tire explode

The tire cannot explode for any reasonable definition of "explode". Well, unless you exceed the pressure rating so much that the tire cannot hold the pressure.

If you use inner tubes, the inner tube can "explode" when inflating if the outer tire is not properly seated. The reason is that outer tires are firm due to having fine strands in them and thus cannot expand, but the inner tube is just rubber so it can expand and explode. Such exploded inner tubes can't reasonably be patched because they can have a large cut as opposed to only a small puncture.

With tubeless tires, the only rubber part is firm so it cannot expand or explode.

when to know that it's time to stop

I would use pressure as an indicator. Once the pressure starts to rise, you know it's not leaking anymore.

Seating a MTB tubeless tyre is accompanied with a very audible pop/bang when the bead locks in.

I’m not sure if skinny tyres have such a large noise but it’s definitely normal for the process. Keep inflating until you reach your desired pressure.

Once you have cleaned your rim and tyre you can inflate dry without fluid. The tube should seat and hold air for a long time with an undamaged rim. In theory you should be able to ride dry.

Deflate the tyre, remove the valve core and add fluid through the valve body. Reinstall the core and inflate again.

I remember I heard a small pop and stopped inflating

The pop is what you are waiting for when inflating. It means that the tyre has become seated on the rim and will stop leaking air fast and it is now enough to just add the air as necessary.

For 35c gravel tubeless tyres I would use pressures about 35-40 PSI or somewhat more if you are heavier than me (many people are). For the initial seating I would go up to 50 get some proper pressure. There is no reason to go to 60 but it won't explode unless the tyre is not connected to the rim properly - but then the explosion would rather be a fast burp of air, the tyre would remain intact.

Blow-offs happen but it's uncommon and unpredictable, unless you overinflate. With practice you can pick up on when a tire goes on particularly easy, but that's about the only indicator you'll get, and even that sets nothing in stone because most of the time the bead will lock just fine anyway, assuming a proper tubeless rim. In my experience tubeless blow-offs usually involve overinflation that was either accidental or a bad choice of working pressure, or intentional when trying to get a tire to seat.

A lot of problems with tubeless mounting happen when people not deeply familiar with the process decide they're going to one-shot it like in the videos by pouring sealant on a freshly taped rim before the tire is seated. That is a reasonable practice for a serious mechanic who has to move fast and has high confidence in their technique and how nicely the components will play together. Everyone else really should just inflate the tire dry to test the basic integrity of things, and then add sealant through the valve after the tire is mounted. You lose nothing by doing that once you factor in the average expected time you lose when things go wrong one-shotting it.

Assuming this is some kind of modern tubeless rim, put it to 60 dry. Blow-offs are not a major problem but put your range muffs on if you want. You're looking for it to be able to hold a little while dry. Gravelkings have thin, supple sidewalls so it's going to drop quickly, that's not a problem.

Sealant buildup between the tire and sidewall to me suggests the tape wasn't doing its job, i.e. badly applied and/or too narrow. There's not really another way for the buildup to even get there. Maybe it's possible the tire wasn't seated properly, but forces from riding would trying to seat it and it would be unusual for it to never fully seat under pressure. Retape it if you're having that issue and use a proper tape that's 5-6mm wider than the inner width, or around the exact rim outer width if non-carbon. If you have any doubts about your tape technique, use a tube overnight to press it down. That is another very good trick to make life easy if you don't do this all the time. You should still be pulling so hard on the tape that it feels like you're trying to simultaneously stretch it to nothing and rip your arm off while sweating and bearing down on the wheel smashing it into a corner between your body and the workbench and shouting at it.