Stuff is rusting internally, that is where the danger is coming from. 
Also the Rain Explosions depend on Power Type, for Heat based Machines a sudden influx of water means it steams and rusts very fast, while Electric ones end up with shortcircuiting the whole thing. And some Machines are immune to Rain, even if it is not documented anywhere. Like Solar Panels for example, or I think anything that runs on Rotational Energy is fine with Rain…