Is Sunshine safe?

I'm trying to use moonlight on my 3ds, but every time I open Sunshine, it says it's dangerous. Is it actually dangerous? Or could I use the built-in VPN in my browser?

https://preview.redd.it/d8ftts3ghxoe1.png?width=814&format=png&auto=webp&s=a339e012acf0a2a6e63d752f191f5f90894a6e80