Well I played that game for probably a year and a half, you shouldn't have any issues.
Dont expect any spyware/malaware from the game, the only downloading(and players cant send you anything ingame/find your IP address) thats done is from the FLYFF Patcher that they update ever Thursday Afternoon (AEST) for 2 hours when they update the server and add new goodies.
"
Am I being unnecessarily cautious?" Possibly
Just be wary that the games based heavily around players purchasing stuff with real $$ in the games cash-shop, you dont have to buy things in there(I never did), but thats basically what the whole thing revolves around, that and leveling for hours on end.