The main danger is that of a rogue Electrum server trying to read information (private keys) from the memory of its its client.
Such an attack is possible if the client uses a vulnerable version of openSSL, and uses a weak or no password to encrypt his seed.
The binaries of Electrum that are distributed on electrum.org were built using openSSL 0.9.8.
This version of openSSL is not affected by the heartbleed bug, so you should be safe if you are using a binary.
If you run Electrum from python source, it will use the version of openSSL that is installed your system.
Therefore you should check which version of openssl is installed on your system, and upgrade if you are using 1.0.1.
If, for any reason, you cannot upgrade openSSL on your system, I guess it is better to select TCP instead of SSL in your Network settings.
I would like to add anyone running python source can check their version by opening the python console and typing the following.
>>> import ssl
>>> ssl.OPENSSL_VERSION
This will tell you which version you're using. (just in case someone didn't know)