It has been done and still is being done. I am seriously contemplating it myself, just a matter of making the time and taking the effort. I have a MacGregor 26M and they have daggerboards about 72" long but only 57" go below the hull bottom. They are hollow and fill with water to provide neutral bouyancy, but several owners have plugged the holes and filled the board with a 50# mixture of leadshot and epoxy and even added a steel rod down the length for added stiffness. The downside to this was having to beef up the pulley system to raise and lower the board because it is now much heavier. Those who have done it report good results but it does entail a bit of work and resources, which is why everyone does not do it.
The extra weight does not sink the boat anymore than adding an extra battery would or adding an extra person.
Adding weight to a dinghy daggerboard would not prevent a capsize completely but it would delay the point of capsize to some extent, enough to prevent 30% of them. It is not a crazy idea, but it will change the sailing characteristics to some degree, especially in a dinghy.