Tesla Inc is one of the hottest stocks on the planet, thanks to investor belief in Elon Musk. Paradoxically, that might be the biggest risk investors face.

Take the events at Tuesday’s annual meeting, for instance. In response to a question about what the company CEO and chairman does in his time away from work, Mr. Musk said, in part, “Sometimes go crazy on Twitter. You know, sort of, red wine, vintage record player, some Ambien, magic! Magic happens.” The assembled crowd burst into laughter.

Investors...