I have been on these boards since, 2004, and lurking for a year or so before that. I have never heard of a Mod from Nexus, or any mod site, being malware. Could someone sneak a file in that is not a mod? Probably, but it would not last long. There are people who download any new mod just because it is new. It would quickly become known if it was a problem file or not. The Nexus folks are great at taking down crap when it is reported.
Now, all that being said, can you hose your save file using mods? Absolutely if you don't take care and thought when choosing and installing them. So, follow good mod install practices, they are spelled out all over the boards here and at other mod tutorial websites. And, yes there are poorly made mods that can mess up your game or mess with other mods, so read the reviews and comments before downloading or installing.
Also, in this game,once you load a mod into the game then load a save, things can happen to the save because of the mod. 99.9% of the time, this is OK. But, always, always, always, make a forked save when trying out a new mod. This way you can remove the mod and load up the save from before you put it on your game and not have to worry about it. Never remove a mod from your game if you have used it for a while and have been making saves, unless you have the pre-mod save handy and want to go back.