I don't trust it that much either, but in the end jdownloader gets developed by a company registered in Germany. [0]

If they ever did something really sinister they would be quickly out of business.

[0] http://www.wemakeyourappwork.com

http://www.wemakeyourappwork.com/#contact

Another jdownloader user here. I have similar misgivings about its trustworthiness, but so far I haven't found any concrete reasons to distrust it other than that vague sense of unease. It's just so damn useful though!