When you're discussing your own OPSEC (Operational Security for those unaware), you have to evaluate and determine your personal threat profile. Generally speaking, you need to determine what risks you're willing to accept, what risks you're willing to mitigate, and what risks you will not tolerate. There's a whole field of IT dedicated to this but the general idea is for you to understand that there is no perfect solution and everything is a trade off.
There is an inherent risk to downloading pirated software, especially software that you use for private activities (e.g. finances, etc.). With today's landscape of mining crypto, I'd go so far as to say almost any pirated software is at risk of this.
I would agree that generally playing media files is relatively low risk (though there was a vulnerability I read about a few years back of a zip-type attack. The details allude me at the moment).
But for executables, you basically have two options:
- spin up a VM to host your executable, sandboxing it from everything else.
- trust the people who are providing the executable and run it on your computer
Personally, I avoid pirated executables. More often than not I can find a similar open source product that I can download. My risk tolerance is not only low, but I don't see the benefits of using a particular company's software especially if an open source is available.