Drone flies are brightly coloured even though they cannot sting is probably so that they can trick the other insects, animals, etc. into not eating them, in other words, acting as if it could actually sting.
To another insect, a bee sting is fatal. To humans and most other animals a bee sting is not dangerous unless the victim is hypersensitive to bee venom. In that case a sting could cause anaphylactic shock which, if untreated, could prove fatal.