I went through Saudi on a bike in July 2008. You can read the gist of my experience here:
And here you can get an idea on what to see around Al Ula and why the FO advise against visiting.
I would say it's as safe as most places and people were friendly all the way through. We had a police escort from just north of Riyadh to the Aqaba border which was actually quite a lot of fun and added to the memories.
If you can successfully obtain a transit visa, there is no strong reason not to give it a go. After all, Jordan has suffered terrorist attacks in recent years too; as has London where the FO is based!
Stephan
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