Alright, answers to your 4 questions:

Are these dangerous and what if someone sells us a nulled script claiming that they have reseller rights?
They could, if you got the script from somewhere/one reputable, then it's pretty safe, if not: be careful!

If they sell you a nulled script, you can go to the company and tell them you bought a nulled script accidentally, and you need to be reimbursed.

How do we get caught with nulled scripts?
Either your web hoster or someone visiting your website reports on you; that's how you get caught. Remember, since your web host has complete access to the server (dedicated/shared), he/she can see any file you have.

Are warez and null scripts the same?
Warez is just "wares", like software, media, premium stuff that is made free. Nulled things are things that have their security and protection system stripped from them (licensing, callbacks, keys/serials, etc.).

Does these effect the server?
As I said in the first question, if it's from a reputable source, then it likely won't hurt the server at all. If it's kind of dodgy and it's slow in running, or makes another connection to another site (look at the code), it maybe bad.

Hope that helps.