Unless you've identified allergies then no, you don't need to avoid anything besides honey (botulism risk) and choking hazards like whole nuts or popcorn or marshmallows. And generally, just try for whole foods, rather than processed stuff (there's time for junk later).
Yes, it's messy, but they need to learn some time. Better to do it now than later. You'll have a kid who can eat with utensils in no time if you can just let go of the mess now and let her learn. Have fun!