Not at all.
Steem connect is a safe way of connecting to the Dapps built on the Steem blockchain.
It doesn't leak out your password to anyone.
In a healthy state, SteemConnect uses TLS to encrypt the data between your computer and the website. This prevents an attacker/hacker from simply intercepting your password. It doesn't stop them from pretending to be steemconnect and trying to trick you into accepting their untrusted connection. If you receive an error that requires you to "accept the risk" before continuing, your credentials are likely at stake.
Let me also ask you this question. If you are using a public wifi network to log into your Facebook account, would your Facebook password be hacked?
Your password or keys is always safe with steem connect either you are connected with a wifi or you are using your own data network. I have connected to several Hotspots when I intend to surf the internet either by Facebooking or steeming and I my passwords or keys are not hacked.
I will say it depends on how you safe your password and the type of browser you are using to browse the internet.
I think the best way hackers can hack your Facebook account is by writing encrypted codes which may result in a link. They send you a link and once you click on the link, there is high chance of them having access to your account. I don't think such thing is happening on Steemit because @arcange and @cheetah will surely get such bad people and they will surely get punished by flagging and adding them to the blacklist.
I haven't heard of any case that has to do with hacking of Steemit passwords but I have heard cases that has to do with losing of passwords. It is very important you keep your password very secure in such a way that no one will have access to your password except you alone because your password is very important as a Steemian.
Thanks for reading and I hope this helps.