While the air itself won’t do you any harm, the fact that you could potentially be bolusing it does. If you were to bolus 15 units of insulin with an air bubble, you might only get 12 units + air and might end up high because you didn’t get the insulin you needed. (While I mention bolus above, this would also apply to your standard basal.)
When you say in the luer lock section, are you referring to the connection point between the cartridge and the tubing? To help minimize air getting stuck, when you’re loading the cartridge/priming try to keep the cartridge upright. Since air floats it should get pushed through the tubing during the priming process. Don’t be afraid to tap the cartridge somewhat aggressively or with an object to try to move the bubbles to the surface.
You could also try to prime without the tubing attached, and then priming a second time after attaching the tubing. It might use a bit more insulin, but if it guarantees no air bubbles a few units of insulin is worth it.
Some Tandem users have reported similar issues to this for several years now. If this is a regular problem for you, I’d reach out to Tandem to see if they can offer any other suggestions or insight. I know in the past they’ve had some issues with their cartridges leaking, and while it has been resolved, it never hurts to make them aware that you’re experiencing some issues.