The risk of adverse reaction from Epi-Pen injection is relatively low. Of nearly 16,000 accidental Epi-Pen injections reported to poison control centers, about 8% obtained medical treatment (mostly due to injection into a bad location such as a finger). 0.2% reported "severe effects." There was no mention of any fatalities. There have been two reports of direct injection into fingers ultimately requiring amputation due to vasoconstriction, though such effects are very rare even with accidental finger injections.
The risk of death from untreated anaphylaxis is quite high, in the sense that 40-50 people die from sting reactions in the US each year. Roughly half of these people had no previous history of reaction, and so likely had no Epi-Pen on hand. Legal issues aside, I would not hesitate to use my pen on someone who was clearly experiencing a reaction.