When operating a still, you should always ensure the system is not closed. When ethanol and water go from a liquid to a vapour they expand by 500 times and 1700 times ther volume, respectively, so 10 ml of ethanol will turn into 5000 ml (5 litres) of ethanol gas and 10 ml of water will get to 17,000 ml. In a closed system, this can produce a tremendous amount of pressure. Most modern stills, especially ones designed by commercial manufacturers, will have a pressure relief valve somewhere, but cheaper models may not have all the bells and whistles so in that case, you need to ensure the system is open otherwise there is a chance of the still rupturing, spilling ethanol or in the worst-case scenario, the still will explode. Though you would think this is rare, you will still see news reports of this happening.
Though excess pressure is dangerous, negative pressure can also cause problems, like collapsing your boiler and causing a spill of ethanol. Thumpers are one of the culprits because the liquid inside the thumper can act as a plug and when the heat is removed from the still, the vapour will collapse which forms a vacuum. A collapsed still, and an ethanol spill is expensive and dangerous and even if nothing bad happens when a vacuum is formed, it is a pain to release the vacuum and can be an annoyance and time sink.