Thanks all for the answers I have learned a lot just now
If the airdropped coin is already listed on an exchange and it allows you to have the coins dropped on your exchange address, it is perfectly safe.
If it is a token on a network like eth or waves, it is perfectly safe.
If it requires you to download a specialized wallet, be very careful!
This is a great summary of all kinds of drops. Thank you kindly everything is crystal clear now and I feel safe moving forward!