Not what they're asking, read closely. They're curious about the risk from using pirated audio or video material (not executables). VLC is only mentioned as their player of choice, so it's easy to assume they've already got it installed.

It actually works brilliantly with Plex, especially since you can use multiple indexers as sources.

Just make sure to set up preferred languages in Bazarr properly, store the subs alongside the video files and rename them appropriately, and Plex will pick up on them instantly.

Edit: on second reading, perhaps you meant solely with Plex? Without any *arrs? That does become more tedious and a dedicated desktop tool might be a more logical choice then.