Activated alumina, like most commercial desiccant material, is not harmful to people or the environment.
Activated alumina is a porous solid made of aluminum oxide, or Al2O3. Though non-toxic, aluminum oxide is mildly irritating to skin and eyes with too much exposure. Please, do not eat.
Fun Fact: The crystalline form of Al2O3 is attributed to the precious gems ruby (pictured above) and sapphire, whose brilliant colors come from impurities in the crystal.
Disclaimer: As with all chemicals, always refer to the SDS for safe handling instructions.