As with any type of download, there are concerns about malware.
Even a good and trusted site can get hacked.
Good virus protection and malware protection is a must. Which one is best is basically a personal preference. I use several free ones, such as Ad-aware.
As far as legalities go, I really can't answer that specifically, not being an attorney, but, I look at it as I did many years ago when I listened to broadcast music on the radio and recorded it on tape (similarly, recording movies off the TV). I think, in a general sense, if you don't use the music that you download in a commercial operation, you should be good.
I generally do buy my music from Amazon and I've ripped all my CD's to my computer and backed them up on several jump drives (I have tons of songs).
You may also be able to download just the music from Youtube (there are free programs to do those things. I don't, I don't care for the quality of the stuff on Youtube).
I don't know if that clarifies anything, but, yes, there are some songs that you can't find anywhere except in some online archive. If you have doubts, don't download. If you know someone with some computer skills, you can set up a "Virtual" environment and download to that (It is not actually on your computer) and scan for virus's or Trojans or other nasties before putting on your system.
Caution is always a good thing unless you're Evil Knievel.