It definitely isn't comparable to smoking or vaping. Those introduces a lot of material to your body that's well established as harmful. To name just a few, formaldehyde, carbon monoxide, heavy metals, even radioactive polonium (for tobacco specifically). The problem with smoking isn't that we're misusing our lungs, it's that we're bringing a fairly large amount of toxic material into our bodies.

I'm not worried about bone conduction, I feel that open ear is much safer than closed ear because I can eg hear a smoke alarm or hear a housemate fall and cry out for help. If there were evidence it caused brain damage or something then I would stop using them but I don't think there is. I try to regularly turn my volume down below where I can hear it and then turn it one click up to mitigate damage to my hearing. That's definitely a real risk but that's not specific to bone conduction.