I've just trying to download the wallet for this coin, but sadly my antivirus giving me a warning that the site link might be dangerous. Is is safe for me to ignore the warning from my antivirus?
Yes, it is perfectly safe. Antiviruses often treat coin wallet clients as a viruses, but it is a false positive.
I would say that usually biggest exchanges are the most secure one's, but at the same time they are the biggest targets to hackers and phishers.
If you really want to find a secure exchange - you should follow the exchange's social media and you may see which exchanges care about their users and which do not.