Well, if your media server is allowing all connections (including outside your LAN) then there will always be security risks. You're basically broadcasting a media server to anyone who on the internet. As for people who made the program having access to your computer; unlikely but again, possible.
If you make your media server local there shouldn't be any problem (except anyone who can access your wireless network)
If you make your media server local there shouldn't be any problem (except anyone who can access your wireless network)