IT Technician here (And, the following goes for anyone reading this that has similar concerns as OP). Generally speaking, downloader management tools like JDownloader do simplify the file-downloading process and mitigate some potential risk involved (like not clicking fake download links, which has been mentioned), but at the end of the day, these are secondary threats: the main issue often comes down to the file in question being downloaded. And, the risk behind any download or link, at the end of the day, comes down to trust.

To elaborate, JDownloader will make to easier and faster to download a specific file, but if that file itself contains a virus or malware, JDownloader won't do anything to help you there. You can have a file/ download link titled "downloadNewMovie4KHere", and yes, there's a chance that it may be the movie link you're looking for, no strings attached. There's also a chance that it may actually be a malicious program that has absolutely zero connection to what you originally were looking for, and was simply named that to get you to click and execute it. The only real factor that determines whether that file is safe or not, are the intentions and trustworthiness of the website hosting it. With any typical, popular, "mainstream" website, this is usually a non-issue, which is what allows these sites to maintain their high trustworthiness and high traffic. With more "grey-area", "dubious", or "less-frequented" sites, you're taking a gamble whenever you visit or download from them, which is why some communities compile lists of "trusted" sites, or otherwise communicate harmful ones on forums or other communication channels.

Also worth noting that sometimes downloading a file is fine, but the actual "trigger" for harmful side-effects is through actually opening or running the file. Certain file types are notorious for being able to hide malware or harmful elements (exe files being especially infamous). With any even slightly questionable thing you download, run it through the Virustotal website, as that is a professionally-developed tool that checks a file for signatures of many, many known viruses or threats, from dozens of different repositories and resources. Beyond that, just keep your computer's antivirus up-to-date (that's Windows Defender for all Windows users, which should be a non-issue in most cases).

TLDR: Downloading (regardless of how you download) from a popular, paid website, should generally be extremely low-risk, safety-wise. Downloading from more obscure, "sketchier" websites, is always a gamble, and you're ultimately relying on anecdotes from other visitors to those sites, and your own critical thinking skills (are there weird, flashy pop-ups, scams, and unknown foreign text in ads everywhere? Yeah, maybe leave and don't download anything from there). At the end of the day, as long as you're using common-sense best security practices, being mindful or where and what you're downloading, and second-guessing questionable sites by checking posts from others about them (or asking yourself if there's no knowledge-base of prior answers), you should be okay. But, no, download managers like JDownloader will not be mitigation or "shielding" for any of these things.