No, the RAM frequency the sticks are sold at are just an XMP profile, that won't be used until you've enabled XMP in BIOS - the RAM can run at multiple speeds, both lower and higher, given that you adjust timings and the DRAM voltage accordingly (to a certain limit of course).
This isn't dangerous for the RAM sticks as long as the temperatures are good on both RAM and CPU (which is no problem for DDR4 RAM), or as long as the DRAM voltage is below 1.5V (specified by Intel) as it can otherwise degrade the memory controller on the CPU. Though most people no longer feel comfortable above 1.4V, as it's the highest voltage setting found in XMP profiles.
The only uncomfortable thing is that if you try out a settings that goes unstable right when the computer boots, then BIOS won't boot since it can't find the RAM, and then you need to pick out a battery (called CMOS) from the motherboard to reset everything in BIOS so all settings are stable again (unless you have an Asus mobo which has a feature called MemOK, which is why I always go with Asus mobos). Though no need to dive into this here as it's a subject of its own.
As for compability, you could say there are different types of compabilities. What you're referring to is the motherboard's supported RAM speeds - if it's not supported that means you won't even find that speed option in BIOS.
What I'm referring to is compability with the chipset together with the RAM sticks. X99 and Z170 chipsets are known to become incompatible with certain RAM speeds (mostly from 2800MHz to 3000MHz, with 2666MHz and 3200MHz also being unreliable sometimes, but rarely) when you overclock the CPU and/or fill out most RAM slots. This can even take sometime before you get a bluescreen, as everything is fine at first, but then one stick after the other disappears, until all RAM is lost and the system crashes.
More than this, you also have the more uncommon RAM speeds, such as 2600MHz, 2800MHz, 2933MHz, 3466MHz etc, which may be supported by the motherboard, but there's no guarantee that the RAM sticks themselves will work with it - despite edited timings and voltages.