It's pretty much just a shortcut maker with some of the more popular web applications already there for you, and there's no real risk because it uses your browser to get to them. I prefer using WebApps because the tiles are actually the app logo as opposed to simply a screenshot of the website when you pin them from IE.
If an application you want to use isn't there or you don't like the tile they're offering, you can always make a custom one and even submit it if you'd like to share it with other users. I use it for things like Google+, Google News, and Dropbox.