It's supposed to appear dangerous. The first time anything actually dangerous happened the user would immediately stop using them. Or worse, they'll end up in prison. Copying a random zip file of the Anarchist's Cookbook on to your PC will get you a few hours of questioning by the police and a caution not to be so stupid as to be a pretend spy again; why you downloaded an archive of several thousand child porn pictures is quite a bit harder to explain away as a bit of fun.
Have not broken any laws does not provide any assured protection. And even the laws that are supposed to protect your rights have a long history of being broken, often with little punishment to the breaker.
The same is true here in the UK. It's not a crime to have the file, but it'd be reason enough for the police to request you 'voluntarily' answer some questions about where you got it from and why. If you refuse to answer questions however, then it's a crime.