If you get grit or damage the tip (due to dropping it, etc.) then yes you risk damaging the screen with fine scratches. If you press hard on the screen and/or do lots of broad strokes with the pencil, then yes it's possible.
All that said ...
I have had the iPad Pro since launch day and had the pencil the second week it was avail and I use both 5 days a week several hours a day. I use the iPad Pro mainly for web browsing and music production and use the pencil more as a "mouse" pointer device over artists drawing, etc, and to date of this writing I've no scratches on the screen at all.
I am happy to post screenshots if needed if you don't trust my word, but still, if you are not careful , you can scratch the screen.
I am on my second pencil tip that was in the box and I have 4 stashed away, so I am covered.
It helps to keep the pencil capped and in a protective bag/sleeve, etc she not in use (don't just stick it in your pocket) so you keep debris off the tip and keep it from damage.
