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?
Nothing in particular, just some common sense and general precautions (some already mentioned by the previous posters).
It's pretty obvious you should try to avoid installing new software (especially from unverified sources) on a device which holds your wallet, don't click on/download any attachments from anyone (including your friends and family as their accounts may be compromised too). It would be better to have a separate device for your Bitcoin wallet, with limited or even completely without internet access (or better with no network card at all). Be careful when upgrading your wallet, there have been issues with that before (phishers uploading modified/backdoored versions). If you follow these simple rules you should be pretty safe.