I guess you have to say nothing other than a baby is safe in the cot, as the potential is there.
That said my ds 5.5mo sucks on the foot/arm of a teddy to go to sleep & still has his wrap in there too & he rolls around like mad. Yes I do worry a bit, but I know the wrap is only musslin so he won't suffocate & I have it done in such a way that I think it would be impossible to choke him.
I know people who have had blankies like that for their lo's & had no problem BUT there will always be a ever so small slight risk with a blankie