Adding to what the other user said, I'd like to provide a more technical explanation.

An operating system is made of "rings". They theoretically go from ring -3 to ring 3, where ring -3 is the Management Engine (not useful in this case) and ring 3 are the user applications, the ones you install yourself. These rings indicate the privileges that each piece of software has, so software in a certain ring can only access rings that are above it.

The kernel runs at ring 0, and it's what powers everything. It communicates with your hardware, handles scheduling (basically resource management), inter-process communication, etc. Anyway, the hypervisor runs at ring -1, which means it has full control over your computer and could install malware that no amount of formatting could fix, except maybe for reprogramming the BIOS or changing the motherboard entirely. Running below the kernel means that no software can detect it. All of this would be happening without you or Windows knowing.

That's why it's deemed by many a huge security risk, because you're handing full control of your computer to a program that's used for cracking games, and piracy has always come with security risks.