Extreme caution must be taken near the Edge of the World, as falling in will result in losing everything on a survivor as well as any mounts. After Patch 247.0 you won't lose mounts, but you still have the chance of losing all your stuff. As falling into the water can cause your body to sink or float away. Still take caution.
If you fly too deep into the void, you will take damage. After Patch 247.0 there is simply water. Nothing will harm you if you fly/fall into the water.