Safety is the main concern in human-robot collaboration (HRC) in work environments. Standard safety measures based on reducing robot speed affect productivity of collaboration, and do not inform workers adequately about the state of the robot, leading to stressful situations due to uncertainty. To grant the user control over safety, we investigate using audio, visual and audio-visual mixed reality (MR) displays that inform about the boundaries of zones with different levels of hazard. We describe the design of the hazard displays for scenario of collaboration with a real robot. We then report an experimental user study with 24 users, comparing performance and user experience (UX) obtained with the auditory display, the visual display, and the audio-visual display resulting from combining both. Findings suggest that all modalities are suitable for HRC scenarios, warranting similar performance during collaboration. However, distinct qualitative results were observed between displays, indicating differences in the UX obtained.