Yea good thing you didn’t. MSHTA is the app that lets you run Microsoft HTML Apps (usually used for their help articles). Those can contain JavaScript or VBScript code. And since you’re pasting it in a Run box it’ll happily execute it, even if it’s a remote source.
Generally it would only run as your user (you’re not admin are you?), which would still be enough to make your life miserable, but it could also try to run known exploits and raise itself to admin and own your whole computer.
It’s just more FUD trying to keep away from it. We’re still a ways off of 100% renewables and nuclear can very much help fill in that gap without reliance on foreign oil or fossil fuels.