There's nothing at all wrong with being curious.
Regarding gearboxes, only one on a 335D, which turned out to be 2 litres short on oil. The boxes, generally are fine. My car produces over 800Nm of torque, and soon will be up around the 1000Nm level. They aren't as fragile as they're made out to be. There's always exceptions to the rules though and some will fail. But they also fail as standard too. 9 times out of 10, a remap will not actually be the root cause of a failure. Mostly it's worn components that are close to the end of their working life fail when extra load is put on them. I'm talking about anything from sensors to turbos here. When a car comes in, we have about 5 minutes to make a general assessment of the condition of the car and that's what we have to base our judgement on. Does the turbo whine, does the engine sound healthy, does it look well looked after, does the oil look decent or like glue etc. If the car is older, then we will pay more attention to it. A 10k mile 535D is incredibly unlikely to have any major issues. A 140,000 mile 11 year old 535D like mine would have a much higher chance of having issues. Be that a weaker fuel pump, turbos whining (bearings starting to fail, usually in the small one on those), boost leaks, blocked up inlet manifolds from the EGR etc.
If your car is older, then bear in mind there will be components in there approaching the end of their working life. Turbos, whilst they can last to 200k miles or more aren't guaranteed to do so. There's a Xsara Picasso in our workshop at the moment for a new clutch and turbo at 56k miles. Mileage isn't always a way of telling what is going to fail and what isn't. As a tuner that's where experience comes in. Most of the time they'll be perfectly fine but there's just a higher chance of something playing up more seriously, the way to look at it is that part was going to fail anyway at some point, the extra stress of a remap just made it happen a little sooner. I've had coilpacks go on a few VW 1.8T engines within a couple of hundred yards of a map file going on, but they're known to be made of metaphorical chocolate. We actually keep a couple of those spare now just because they're so common for failing, tuned or not. Depending on what it is and the level of tune, only small changes are made for power increases. For example fuel pressure will be raised, but only by a small percentage. Boost, again is the same story. It's just making changes in the right areas that are the key. Only a few percent is required for quite a bit more power.
In terms of advice, with a diesel, make sure the filters are changed - air, oil and fuel. Check for leaking boost pipes. They can often be identified by oily stains around them if they're leaking. A gearbox service never goes amiss either. 90% of cars take a tune fine, just be more prepared for something to fail if the car has high miles or is older. That's not saying it will, there's just obviously a higher chance of it. The same goes for petrol. A new set of plugs in turbo cars is always nice to have, but we're still looking for the same thing. Engines can be surprisingly resilient. Our drift cars can sit for hours, get fired up, idle for a few seconds as they wait to go and then boom they're on the rev limiter for a few minutes. They are taking the abuse. That's not to say do it, far from it, it's the exact opposite of mechanical sympathy. One of the ones that gets driven like this has well over 150k miles on it and sounds as sweet as the day it left the factory. However it has had sensors replaced, and things like that as parts wear out, but the major bits are all still original and standard.
Just make sure the car is in good condition, you know the car better than we even will do in the few minutes we get before starting on the car.
Yes I've refused to tune cars before. I turn away maybe 1 in 30. The last one was a Seat Leon 2.0TDi that came in for stage 2 tuning and launch control a few weeks ago. The clutch was slipping in 4th gear upwards, the turbo sounded like a Police siren and the whole thing just felt very unloved. I might've tuned it and it might've been fine but I wasn't prepared to take the risk (aside from the clutch which needed replacing regardless).