Nah, you can just claim those free NFT's. I mean it's free, so why not claim or mint it? There's always a number one rule when it comes to these kinds of things, and many YouTube influencers also said it, and that is "TO ALWAYS USE A BURNER WALLET".

Burner wallet meaning wallets that you will only use for that particular mint of an NFT. No more, no less. Don't use your main wallet to mint free NFT's because like you said, your wallet can get compromised. There's no problem claiming or minting it especially for free, but always take note of the risks, and don't ever, ever use your main wallet for these things.