The Romans were pretty good at managing animals, so they'd make good use of gorillas. Unlikely that there'd be serious danger to the audience - you could easily set up nets or roller barriers.
What they'd do with them depends on availablility. A single captive gorilla would be displayed. Far too valuable for the arena. But if you could even have a semi-regular supply (say a few every decade or so), they would go into the arena and probably be used for 'African' tableaux being hunted by pygmies. the Romans also had a thing about anthropomorephising animals, and the near-human barbarity of the gorilla is likely to make him a good representation podf all things barbaric. They'd probably try to enact combat against representations of urban civilisation, rape scenes, and Commodus would probably want to kill a few himself.