The sphere on the Van de Graaff is a conductor surrounded by an insulator (the air). While there are strong forces on the negative charges on the sphere, they’re not strong enough to break down the insulating properties of the air. If, however, you bring another object with less negative charge close to the generator the forces on the air molecules can become strong enough to rip them apart, separating their negative electrons from the positive nuclei. A spark will jump. If that object is your finger, you’ll feel a shock when the charges carried through the spark move through your body. While the shock can be painful, one produced by the kind of Van de Graaff in physics classrooms is not harmful.