"Luckily I'm not rocking windows so the chance of being hit by a 0-day is a bit lower (correct me if I'm wrong.)"
As far as I know, if you run it, and it's written intelligently enough, you're in trouble no matter what OS you're on.
It doesn't matter if you're on Windows, OSX, Linux or System i V7, if you approve the app to run, it'll run.
Java is a bit dangerous that way, but it's also a bit awesome that way :-)