Hi @PowerBI4Life ,
Everything has risks 🙂, IMO the biggest one being the user doing something wrong in the code that exposes the data.
"python.exe" installed on your machine will be able to "see" your data.
The thing is python.exe is an external program installed on your machine and PowerBI gives python your data - so if your machine is compromised... things might happen (btw if your machine gets compromised not even PowerBI is safe anymore).
Python also has libs (pandas etc.) - if those libs get compromised...
IF you're careful and install python/python libs from trusted locations (btw same goes for PowerBI itself and everything), you should be OK -> (imo) this "worrying" should NOT stop you for using python, go for it!
Worry more about the code you use in PowerQuery, Python etc.
