As they say, paranoia will destroy ya. The only thing that GFCI will protect in that situation is the transformer itself. I am not a big fan of GFCI in temporary outdoor displays because to put it simply, they were not designed with that in mind and really don't work well in that situation. Don't get me wrong, I would never tell anyone to stop using them or to disable existing ones but being paranoid about them is not much of a help either. I really cn't think of a situation where they would be much of a help in protecting an outdoor Christmas light display, at least with the way mine is configured.