You can generally include files on other, remote sites. Something blocks that, but it's still dangerous.
If anybody else has a site on the same server, they could inject stuff into your code.
If you, or anybody else on that server enables file uploads, it could be risky.
If there's a .inc file in another script that could be dangerous, it could be risky.
If somebody can find a way to include a file that doesn't end with .inc, it could be risky.
Generally, but not always, that kind of things leads to a Remote File Include. It's good practice just to not do it. It's not a bad thing that you have it, since I know you're new to PHP, but that's not the proper way to include files.