Perhaps if you're just trying out and experimenting, you shouldn't use your main system. Try it in a VM, or even better, a spare computer. Then whatever stuff that you like, you trickle down to your main system.

In the case of DEs, I don't like having multiple ones in my system, but only because I like my systen lean. So if I want to try out a DE, I'd just set it up on a test system, usually from scratch.

So far, I'm liking KDE the most, but for something more lightweight, I'd go with XFCE or MATE.

To answer your original question: Theoretically, it could affect your security as each piece of software could have vulnerabilities. In practice, however, it's negligible, and if there's anything major, it would usually get addressed quickly.

Last but not least: When you're just starting out, you wouldn't want to be focusing too much on security. Following the general guidelines should suffice for most case. Just focus first on getting all the functionalities you need. Security usually means restricting access, including to yourself, that means doing it too much could make things not function properly. Securing things prematurely (i.e. before you get things working) could only frustrate you, speaking from experience.