Nope. There was quite a fuss when SETI@Home first debuted over 8 years ago. If you are really concerned, there are proxies that will go between the client on your machine and the remote server to ensure that only work packets are being exchanged (they can also que up multiple work units).

I've run either SETI or now United Devices for years. While SETI is cool on a geek level (Search for Extra Terrestrial Inteligance) finding reactive protiens to hopefully cure cancer seems like a more worthwhile project to me.

That and I have had three friends in the last two years die from cancer