That's not how things work. And if you properly airgap your computer, the risks of using this website are very low (or non existent)
Not necessarily.
If the PRNG is sabotaged or it is coded to only create X (e.g. 1.000.000) different private keys, then even using it offline would not be safe.
And that would probably be the most realistic attack if an bad actor would use such a site to steal funds.