Most often, the worst that will happen is that the files have been given absolute path names which is a terrible inconvenience. A malicous person might slip a .rhosts file into a tar file they were distributing in an attempt to gain access to your machine.
We don't do that but if we did we wouldn't tell you.
It simply doesn't make sense as a server side feature. It is offered here now because no WWW client currently provides this function plus we thought it would be fun. Existing WWW clients are oriented towards information browsing--not software retreival.
We expect that when clients do offer actual software retreival functionality (we're writing one now) that these clicky buttons will get in the way. For this reason we plan to eliminate the MultiDownload feature at that time.