DAX Studio and Security

Hello,

I would like to start using DAX Studio as I work to improve my abilities with DAX. However, I am a little concerned about exactly how the application is connecting to my data in PowerBI and whether or not this is a security concern. Put another way, is there any additional risk to my data when it is brought into DAX Studio? I have searched for information concerning this and came up empty. Can someone with more of a security background please explain the risks, if any? 

Thank you!