If you are not talking about specific flames or avalanches, you don't need a definite article. If you are talking about one non-specific flame or avalanche, you need an indefinite article: if there's anything other than one, you need to use the plural without an article. I have corrected your examples, with explanations of the corrections:
A. Moreover, the stag receives amazing sambuca show in one of the bars – so, watch out for the flames!
I would be very disappointed with a sambuca show with only one flame, so it should probably be plural. These are specific flames- those of the sambuca show- so you need to use a definite article.
B. Just continue on, but watch out for the flame when you get there.
It's difficult to say without knowing the context, but this sounds like the flame is a landmark that you will see when you get close enough. It's singular and specific, so you need a definite article.
C. So, good luck on the seventh stage. Also, watch out for avalanches.
D. Watch out for avalanches though. Listen to the locals for the news about avalanches ahead.
Both of these sentences are not a specific avalanche, or even a single non-specific avalanche: they refer to avalanches in general. It's non-specific and plural, so no article.