If you run to zero miles in Standard mode, it will force you into Range mode. IMHO if you're anywhere near that you should have put it in Range mode long before that. You want to know as accurately as possible how much range you have left!
There's no hard and fast rule, but it's probably a good idea to limit "spirited" driving when you are under half a pack. When you get to Yellow territory I would definitely be taking it easy.
Red is very low, but not about-to-stop-dead low. I get there routinely on long trips. When you get VERY low, under about 25 km (15 miles), the car will start going "Danger! Warning! Will Robinson!" on you. It will also stop giving you range estimates. I'd suggest resetting your trip odometer (or at least note the reading) at 30 km (20 miles) so you know approximately when you'll be dead in the water.
Unlike the Model S, when the Roadster gets to zero, it stops. I've never got it there. I did get a little bit into the "Danger Warning" region once (due to an insistent TV reporter) but I would personally recommend avoiding that if at all possible.
Dead in the water is to be avoided at all costs. You'll have to call Tesla for help getting your car going again, and it's definitely not good for the battery. Whatever you do, don't leave your car in that state for a protracted period!