Connecting your wallet is necessary for tracking your transaction history and calculating capital gains/losses in ZenLedger. We only request you to provide us with your public wallet address. No one can take your digital assets if they just have access to your wallet's public address.
ZenLedger needs your wallet address to fetch the right cost-basis at the transaction time and show your tax liabilities. Also, there are non-taxable events such as Self-Transfer [From your wallet to your own exchange and vice-versa] which needs to be checked by our system. So it is mandatory and completely safe to see your wallet address :).