Adobe/PDF itself is pretty trustworthy. They've switched their demand model and now every time I try to do something I used to do for free, it wants me to buy an addon.
Yes, you should have scanners/protectors always on and always in place. I use Firefox as my main browser, I have their assists, ghostery, ublock, and a few others. My system is pretty well locked down and maybe it isn't quite so fun to browse (and I get unexpected errors because I never even let Java be installed on this system), but I don't get bad stuff either. I don't know what happened to malware bytes, they used to be one of my most recommended products, now they've just become spam in their own right and I took it off my system yesterday.
If you want to post the site (or send me a message) I'll go there and tell you if it sets my protections off and to an extent I feel it is a risk or not. A couple of cookies does not bother me, but I clear my cache regularly and I don't save passwords on line.