The EXEs are generated by a Batch To EXE Converter downloaded from cnet's download.com. The available downloads from there are thoroughly tested and has a high reputation for being safe. The only things that go into the files are a batch file to start the game in DOSBox or ScummVM and an icon. This solves a number of minor problems over what I used to do, including being able to start ScummVM without a console window before the SVM developers finally added making that a configurable option, but most importantly, Windows keeps better track of an installed game for a more thorough uninstall or reinstallation.
That said, there are one or two AVs that may give a false positive from EXEs generated by the software, but the overwhelming majority scans it as clean. Typical sampling from a number of sites that have tested it with multiple AVs:
BitDefender Antivirus Pro, NOD32, Avira Antivirus and Kaspersky Antivirus. Bat To Exe Converter was found clean of any form of viruses, spyware or malware, making it safe to install on any system. For improved security, Bat To Exe Converter will be retested with every version update.
Avira Antivirus Premium - Infected: 0, Warnings: 0, Infections: 0
BitDefender Antivirus Pro - Infected files: 0, Suspect files: 0, Warnings: 0,
ESET NOD32 - Infected: files - 0, objects - 0, Cleaned: files - 0, objects 0
Kaspersky Anti-Virus - Suspicions: 0, Disinfected: 0
Other sites give the same results using other AVs. I use Microsoft Security Essentials, which has given me great protection since I first installed it on my last machine. It is always active and has not tagged the utility or any of the generated EXEs as suspect and my PC is always found clean. When downloading any patches or utilities that I use in my installers, I always scan them with 2 or three different security programs. The installers from here are downloaded at least a few thousand times in an average month, but this is only about the 2nd time someone has reported a false positive.