Wholesale fireworks for consumer use can be a touchy subject; a patchwork-quilt approach best describes state and city laws. You can find areas that allow consumers to buy almost any firework that can be packaged as well as areas that don't allow consumers to buy any fireworks, such as San Diego County in California. Many municipalities have hybrid laws that allow some forms but not all.
One common distinction is made between handheld and ground-based fireworks and those that shoot up in the air, and the airborne ones are illegal for consumer possession and use. Given that some of the ground-based fireworks, such as wheels, can be rather showy and let the sparks literally fly, it may seem strange to avoid smaller airborne fireworks. However, handheld and ground-based fireworks offer a couple of advantages for consumers over airborne fireworks.
Better Control Over Location
For one thing, handheld and ground-based fireworks allow you to have better control over where the sparks or flames are. Either you're holding the item steady, like you would a sparkler, or it's simply sitting on the ground, such as with a cone. Yes, it's always possible that someone will be clumsy and drop a sparkler or that the sparks from a ground-based firework will travel far.
Compare that risk, however, to that of an airborne firework landing in dry shrubbery or on someone's roof. Once you let that firework launch, you don't know where it will land, nor can you tell if it will gracefully fade out, like professional fireworks do, or if the sparks will set something on fire.
Smaller Range for Sparks
Handheld fireworks obviously have a smaller range. These are meant to stay in your hand, so they can't send dangerous sparks out too far. Ground-based fireworks can have a wider range in which they can throw sparks, but even this range is fairly reasonable and easier for people to work with.
Airborne fireworks, of course, can land almost anywhere in a much wider range. That feeds into the lack of control consumers have over them and increases the risk of something nearby being set on fire.
None of this is to say that there aren't consumers who could handle airborne fireworks safely. However, if you're planning a small get-together in your back yard, sticking with smaller fireworks that don't leave your hand or the ground can make your party safer and easier to manage.