Seriously, it is a bit risky, but yet everybody does it.
I think it depends on the artist, and mostly on his lawyers. When they have a team dedicated to prosecute people, they will go behind everything that moves, without letting the artist know each.
Coincidently, I have a fistnamelastname.net website for an artist with a running website. The .com is also taken and not even parked. Sometime ago, someone in the name of the representative approached me, not to sue me, but trying to buy me the name! I didn't know who they are and quoted a large sum :(
They bargained a lot and it was until the last email they told me who they were, and they told me they got a "lastnameonly.com" for the artist, which was better for them.
So I think I'm safe and will survive. Somehow, they passed on the name and allowed me to keep it.
but the legal risks are greater with the name of a celebrity who has an image machine etc than with "joe smith" ..
Pure fan site + No revenue production of any kind (Yes, not even to cover costs) = Less Trouble.
"Oh, but it's not profitiable"? Sorry, if you are raking in revenue trading off the celebrity's status you have a larger hole in the armor.
Read some of the WIPO and National Arb Forum opinions dealing with celebrity domains before you invest time, money and effort in your project.
An active and clearly non-commercial fan site may have rights and legitimate interests in the domain name that includes the complainant’s trademark. The site should be non-commercial and clearly distinctive from any official site.