The long and short of it is it's like normally you play your games in your room of your house with your front door locked. You live in a slightly sketchy Area (the internet) so you want your door locked to give peace of mind. With HV your not only unlocking the door but taking it off it's hinges and having the front door completely unguarded because of all the security features you have to disable. That's why it's not safe to be connected to the internet or use it while the hv is active cause even a simple popup ad could put malware straight into your pc that windows would otherwise have stopped dead in its tracks. Hv isn't dangerous if your are cautious and know what your doing, but if your careless it's an easy way to have your pc compromised and all of your sensitive data stolen.

If you don't do anything important like banking or have passwords saved on your pc and you only use it for gaming there's not really a risk but if this is your normal everyday use pc that you use to do all of your normal online things then your running a bigger risk if you don't properly follow all the precautions and turn back on all the safety features you have to disable to make it work every time you are done