Its caterpillar is orange with long black spiky hairs. Caterpillars don't cause dermatitis or bite. They eat a lot but they've never done any long term damage to our oleanders, which are its host plant.
The wasp does not sting.
Quick side note: if you'd like to see these beauties in your garden planting an oleander is the best way; however, do not ever, ever plant it close to your home, should they happen to catch on fire they are extremely toxic. Lastly, all parts of the plant are poisonous to cats & dogs. In my experience though, our cats have never been attracted to it.