This is because some of these sites can have malware or something worse added to the zip file for you to download.
On its own, the emulator is very safe to use, however, it can be unsafe when you download it from a third-party or an untrustworthy site. Inasmuch as it is a pretty much straightforward program, there are some things that may be confusing to some including how to download it, the controls, cheats, how you can speed it up, and much more. It has been designed to work on Linux, OS X, Wii, AmigaOS 4, and Windows. It is an open source Nintendo DS emulator that is able to run both demos and commercial games successfully. There are a number of emulators that you can use for that but DeSmuME is one of the most popular. However, there are still many Nintendo DS games that one will want to play. Unfortunately, the console is no longer in the market anymore.
Nintendo DS used to be at the top of hand-held consoles, coming with many great titles.