Maybe that's the same (admin Utility and regular Utility)? I don't know this specific issue.
Forwarding ports is indeed opening a small gate to your computer, so it is a bit more dangerous. But I don't expect any problems. As long as no applications are listening on it, not a lot can happen (your computer won't process the messages it gets). And if an application (like 0 A.D. in this case) is listening on that port, hackers can only change 0 A.D. behaviour. Which means they still have to find a hole in our code to exploit that before they can access other parts of your computer.
As we have very few players (and even fewer players that forwarded the port), it's not worth for hackers to find an exploit in our app. Off course, when we know about an exploit, we will try to fix it as soon as possible, and when more players become active, we will need to have more people working on security. But I don't foresee problems in the next few years.