If I understand correctly the way the protocol works, when you federate to a community you are instructing your instance's server (in this case sh.itjust.works) to start copying every post and comment that is posted on the target community. This would in turn mean that, if you federate with an NSFW community, the sh.itjust.works admin would start copying NSFW posts to his server, with all the legal repercussions of this.

Of course, if this was actually a problem for the admins they'd have turned off federation / put federation on allow list / would have defederated from a bunch of NSFW instances. Considering none of these are the case, I'd say you can chill and just subscribe to whatever community interests you.