What is a drain wire?
The ground wire. You have three wires, hot, neutral and ground. Some refer to the ground wire as the drain wire.
Why do they disconnect drain wires on some cables, but not on others?
By eliminating the ground wire, you can eliminate the chance of a ground loop hum. Search the archives for more information on ground loop hums.
Does an unconnected drain wire present a hazzard?
There is a possibility that it could be potentially dangerous. Most feel that using one ungrounded cord in a system, say on a source that is experiencing a ground loop hum, is acceptable, as long as the preamp cord is grounded. The theory being that a electrical malfuncuntion could travel through the interconnect and find the ground through the preamp power cord. A system with all ungrounded power cords is DEFINITELY dangerous, and should be avoided at all cost.
Cheers,
John