No. As of the 2008 Games, sky diving has never been an Olympic event. Added... There have been efforts to have skydiving included in the Olympic Games for the past several events, but the organizations have turned the sport down each time. At the present time, skydiving is included in the World Games program which includes many sports which didn't make the cut for the olympics.
The risk of a heart attack during a skydiving is the same as it would be during any other high adrenaline experience. If considering skydiving with a heart condition that could lead to a heart attack, consult your doctor to make sure you are physically fit for skydiving and inform the instructors at the drop zone you are going to.
Skydiving can be dangerous if the equipment fails or the pilot makes an error. For example, hard landings, failure of the main and reserve parachute (extremely rare), canopy collision, freefall collision. With training it is possible to eradicate the likely hood of having a problem and thus the question of 'why is skydiving dangerous' becomes 'is skydiving dangerous to everyone who takes part'.