no .you would have no problem. the themes and plugins nulled its download directly from the source and provide them for free. you just have to download them in reliable sites like BABIATO
Sometimes, it's not bad to scan your webserver. It happened many times to have some malware, even in nulled theme or plugins.. but pretty easy to edit the infected files.
They are not 100% safe some time they are ejected with adware. When you use one you need to keep an eye on your site for ads or popups. It happened to me once, I follow the script code and removed. Everything is good now.
I have found out there in the wild some plugins and php scripts that had smartly integrated a silent installer or even worse, a disguised shell. Unless you have advanced coding&debugging knowledge to find them it can get ugly cause they pass antivirus and antimalware checks most of the time. A connection monitor would be handy in this case.
Even so, there are plenty of resources added by members, many of them shared from other sites/boards. Even if they pass primary checks they still can hide something. A thorough manual check combined with a connection monitor is recommended at all times.