This is normal and it's totally safe. I have two 'tricks' to installing games on my D drive and keeping it tidy
Tip 1: when installing the game and choosing the directory, just edit the text and replace the C with a D, then it created a tidy directory.
Tip 2: Alternatively I install certain types of games i.e. DRM Free Classics and certain Good Old Games into a folder in my D drive just called GOG so I know where to find all the fast loading classics.
No risk at all