I don't see why it wouldn't be an issue. As always, only install software from sources you trust. It's exceedingly unlikely that such a thing would get on there without your (possibly inadvertent) help.
Thanks, I'm pretty careful. But my machine was out of my hands once for a couple of weeks while the apple service here repaired my airport card antenna. I suppose if anything started happening it could be traced to them.
There is Little Snitch if you want to check your system for unexpected network activity once in a while. That is the only likely way a key logger would be used, unless someone else had physical access to your machine to retrieve records.