Well, certainly not "catch on fire". Just emitting enough smoke to maybe set off a smoke alarm (but otherwise not really harmful in my experience). Light smoking is fine (and is good for gauging temperature), but heavy smoke will have a burnt taste and is an indicator that you were "cooking too hot".
I don't cook with olive oil too often, so I can't say I remember the brand. I looked a few things up, and it seems like different olive-oils have different smoke points.
https://www.jonbarron.org/diet-and-nutrition/healthiest-cook...
According to this, some olive oil has a smoke point of 320F / 160C, but other olive-oils can have a smoke point as high as 468F. I don't know why olive oil has such a different range.
I guess I'll experiment with olive oil more. It is quite possible that olive oil here in the USA is of lower-quality perhaps?