This is the most critical risk. When you use a third-party leech service, you are trusting an intermediary with the file. Malicious actors often operate free leech sites to inject malware into the files being trans-loaded, or to harvest user data. If the "VNZ" link or leech site is unverified, the risk of downloading a trojan or ransomware increases.
These are paid subscription services ($3–$6/month) that do exactly what VNZ Leech did, but legally and safely.