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They need to burn clean because they "vent" inside the room. In other words, the exhaust product, gas, CO2, or whatever, vents into the room where the fireplace is situated.
Although they burn clean by themselves, they have a nasty habit of taking in room air for combustion, along with everything floating in that air. From dust particles to aerosol sprays, to carpet fibers, they get ****ed into the fireplace, then burned. Whatever toxins these materials emit when this happens, are then released back inside the home. This is another reason not to let them burn too long.
Although I would not call them dangerous, it can be a particular concern in really air-tight homes, or for people with allergies. I learned all this because my wife has such an affliction. She even has problems with regular wood-burning units. For this reason a direct-vent fireplace can be a good alternative since the fumes are vented outside, and no real chimney is necessary, only a direct vent outside. You may be able to convert your unit if you feel the need.
As far as the zero-clearance part, they are pretty easy to install. Most of them, ventless or direct vent, are designed to fit nicely in corners or boxed in along walls. I usually mount them on a concrete board floor, with fire-code rated drywall on the sides. They are not truly zero-clearance. They usually require ½" or so on the sides, and maybe 8-10" on the top.
I have installed many direct vents, but none of the ventless type, for the reasons mentioned above. If you are worried about the chimney, you can easily run it at a angle and up the side of the house, or consider a wood stove, which uses a smaller flue pipe, and puts out a lot of heat.
Oh, and one last reason I use direct vent fireplaces is that I like to burn wood, I like the smell and the crackling of the burning wood, although that can be a problem, too, with those with severe allegories.