It's quite hard to say. It's third party software that controls routing your web traffic. It has a good reputation and has been around since 2009. I doubt it's malicious, and I believe from this page it actually just gives a graphics interface/expansion to the Wireless Hosted Network feature in Windows:
What security protocols does Hotspot support?
Hotspot uses the Windows Hosted Network feature to create its wireless networks. Because of this, Hotspot only supports WPA2 encryption. This means you need to have a password for your hotspot and your passwords must be at least 8 characters long.
As such, if you're worried, you could cut out this software and host a network without using this software. It does use WPA2 encryption, so you are protected against MITM attacks.
Realistically I'd say that it's not a security risk at the moment, but it IS a third party software, and it's impossible to know what data it harvests and uses. Even if I could say with absolute certainly that today, it is perfectly safe, nobody knows what it may do in the future.
If you're worried and using very important information, don't use it.