Perfect security is impossible. It's always a trade off between convenience and assurance. Can you be 100% certain that the official source of software hasn't been compromised? Remember CCleaner for Windows? It was distributing malware at one point.
I cannot purchase certain games any longer, for instance Outrun 2006. A downloaded copy is the only reasonable option. Purchasing a used copy doesn't benefit the rights holder, so I don't bother.
Take reasonable steps to limit any access the program would have - scan files, use a separate limited-rights user, a sandbox, etc. - and live your life.