Not really.
The same principle apply if you visit any website.

This is where there is a need to install at least 1 security software.
Running this HTTrack is the same as click to visit the website individually.
If your security software can do the job to prevent you from accessing to a
malware site, it also be able to prevent HTTrack to download the said malware
site.

This is the main role of a good security software that will prevent malware
site from downloading to your computer.

HTTrack work in the same way as you visit the site concern.
It do not physically display the site but instead it go straight to your
computer to store the pages by creating as as files.

The theory is that when you visit a site, it store the page in your computer.
It is the security software job to check to ensure no virus &or malware then
it proceed to allow the page to store in your computer and display for you to
view & read.