Macau is a nice place and well known for gambling obviously, but not for being dangerous. I think your dad may have watched too many TVB drama series about Macau's loan sharks.
Day time,
Macau is great but night time is slightly a different story depending on where you go, but then again all major cities have dodgy areas, right?
what I'd say is that if you're going to be travelling all by yourself just stay out of dark alleys or places with little or no people around. Don't parade around in expensive stuff including clothes/excessive jewelry, or you'll be asking to be mugged.