Can a large fireball's shock wave be dangerous?
Very rarely. Most fireballs are harmless, but a very large airburst, such as Chelyabinsk in 2013, can break windows and injure people with flying glass.
Most fireballs, even very bright ones, are harmless. Their sonic booms, if heard at all, are like distant thunder or a slammed door.
Large airbursts. Occasionally, a larger object, perhaps 10 to 20 metres across or more, enters the atmosphere and explodes high above the ground. The energy released creates a powerful shock wave. At Chelyabinsk in Russia on 15 February 2013, a meteoroid about 18 to 20 metres across exploded about 30 kilometres up. The shock wave arrived about one to two and a half minutes after the flash, depending on location. It damaged thousands of buildings, broke windows over a wide area and injured around 1,500 people, mostly from flying glass.
Why people were hurt. Many people saw the bright flash and went to windows to look, just as the shock wave arrived. Glass shattered inwards.
What to do. If you see an extremely bright fireball, brighter than the Sun or lighting up the whole sky, and especially if you feel heat from it, move away from windows and take cover, as you would for an explosion, and wait a few minutes. The shock wave travels at the speed of sound, so it can arrive minutes after the flash. This advice is similar to that for any explosion.
Rarity. Events like Chelyabinsk are thought to happen somewhere on Earth roughly once every few decades to a century, mostly over oceans or remote areas. The chance of one affecting you is very small.
Normal fireballs. For ordinary fireballs, there is no danger. Enjoy the sight and report it.