Steemconnect, the service being used to verify identity, is run by Steemit, inc. So, it's considered by many to be a safe enough risk. You also never enter your private owner key anywhere, which is the only one that allows for changing of your keys. For the delegation process, you could go reset your keys right after you do it if you'd like, as it is a one-time action, and doesn't need access after that transaction goes through.