There's no risk though from normal home use. You don't or shouldn't share your finger pricker (people who 'offer; to test friends and colleagues blood for them should though be aware of the risks)
There have been several cases of Hep B caused by bad practice in glucose monitoring but this is in hospitals and in care homes (mainly in the US)
It has been transmitted by the use of finger pricking devices that are designed to be used by one person being used for all patients ie they load a new lancet but there is still some blood on the device. (here's one such case :
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3530571/ )
And here is a case where they were using the wrong lancet device at a 'screening ' event just this year.
http://kstp.com/article/stories/s3455571.shtml
.
There is certainly MHRA guidance on this going back to 2006 in the UK so it shouldn't happen in the UK but who knows what goes on in care homes? I know my hospital in France uses horribly fierce gadgets but they are single use so I'll forgive them that!
There occasional infections from self monitoring but they are rare enough for case study papers to be written about them.(and all of the 4 I found involved people with either very poor control or another condition that made them susceptible to infection)
If there were frequent infections they would surely be mentioned on forums like this . Not only do many people test quite a lot but lots admit to changing lancets infrequently. ( on some forums they make a joke about it being World diabetes day or Groundhog day or St Swithun's and time to do the annual lancet change!)