EtherDelta is safe. The only real issues that I know of happened a few months ago where a third party intercepted their website or something, and so they were able to steal the private keys of people who at that time tried to import their wallet into the platform.
So for that reason its best to always go to their Twitter when you need to log on, since they will report any such issues as soon as they find out about it.
So I guess its not all that safe in that sense, but such things are rare and part of growing pains.