I have always been hesitant on desktop wallets because you need to enter the priv key on a keyboard to recover it. How do I know I'm safe and I'm not getting keystroked or my priv key isn't getting exposed?
Is there somewhere I can check on my security settings or am I just being overly paranoid?
I am trying out electrum but I am not 100% sure I can trust a desktop wallet.

Have a separate machine then for your Electrum a dedicated one if you are really paranoid, sort of making it air gap.
Just one advise though that it's better to used any of the Unix distro, open source, rather than windows version. Disconnect everything, format and then install a fresh new copy of the Unix distro of your choice.