PPSSPP will attempt to establish connection to any IP or domain that is put in the ad-hoc server text box. So, much like a web browser, it entirely depends on where you tell it to connect.

That being said, as for any security concerns, I am unaware of any exploits and/or wrongdoings with PPSSPP code, so you should be safe. It only passes the data directly between the emulated games and the chat box feature.