Is it safe to connect to Internet when running WebGoat website?

I wonder is it safe to connect to Internet when running WebGoat website? Because I saw WebGoat warning says "While running this program your machine will be extremely vulnerable to attack. You should disconnect from the Internet while using this program. WebGoat’s default configuration binds to localhost to minimize the exposure."

If it's unsafe, may I ask the reason?

Thank you so much for spending time to answer my question! Having a nice day!