Are emulators safe for Mac? And how do I delete programs?

I found out about Emulators recently and decided to try one out. I found a site called coolrom.com and it had playstation games that I used to have in the 90's. Anyway, I downloaded an ISO and used OpenEmu as an emulator. I don't have problems with it, I'm just getting concerned that maybe I have a virus. I do have additional protections on my computer (Norton, but I only have that because there is still a PC in my house and they bought the license for a year). Nothing popped up stating that there was a virus. It was just about 30 minutes ago that I googled if CoolRom was safe and people didn't recommend it. I'm just worried that something would happen to my Mac. I really like the emulator, I just don't want anything to happen. Any suggestions?

Also, how do I completely delete a program? I know you can hold it until it wiggles and then remove it, but that doesn't delete the files associated with it. I know I have to go to the Library but what then? It's easier to delete programs on PC from the control panel, and then the files from the Programs folder or the Programs (x86) folder, but it's a bit tricky on a Mac, to me. I have had this Mac since 2014 and I still can't figure it out.

Thank you.