They might have a slight idea of how dangerous it could be. Looking back over their old news footage from several years ago it looks like the cube brought an alien army to Earth.
Actually though the Tesseract sort of reminds me of a form of travel from my world where a race of ancient beings built superconductive rings that connected wormholes from one world to another.
But like it's been said, if it wasn't kept guarded then others who would want to weaponize it would be able to take it and wreak havoc on the world. And, though I've yet to see it, I'm fairly certain there's always a chance that someone who comes through isn't going to be friendly.