PPSSPP will attempt to establish connection to any IP or domain that is put in the ad-hoc server text box. So, much like a web browser, it entirely depends on where you tell it to connect.
That being said, as for any security concerns, I am unaware of any exploits and/or wrongdoings with PPSSPP code, so you should be safe. It only passes the data directly between the emulated games and the chat box feature.
Licensing/legal issues very likely. They licensed that version of the engine for Killing Floor and some other games.