Is it safe to share a locally-built AI tool packaged as an .exe file with other firm members?

One member built a Python-based tool and packaged it as an .exe file to share with the group, having asked Claude how best to distribute it. The concern raised was that traditionally installing .exe files carries security risk and requires knowing exactly what's going on inside them. The response was that while that caution is valid, there are arguably bigger security threats today than a locally-built exe, and in fact a locally executable file is actually a good thing from a privacy standpoint because it ensures the tool isn't sending data anywhere (i.e., it runs entirely locally rather than through an API).