EtherDelta doesn't hold your funds and you can feel free to trade there.
Of course, in our time anything can happen and there can't be 100% confidence. But still we have to make a choice and EtherDelta is right one I think.
I do agree with you, it is safe to trade there but nothing is 100% guarantee it is just like using myetherwallet.com to hold your tokens.
For me I think EtherDelta is one of the most underrated exchange in the space and their contribution has not been truly appreciated