Remote code execution is a concern. Your server and your network as a whole (including other VLANs) are susceptible to attack if Jellyfin is compromised. If Jellyfin is running on the host, it would be trivial to hack your server (and anything else running/connected to it). If Jellyfin is in a Docker/Podman containers, it doesnt prevent attacks against the host (sandbox escape, kernel privilege escalation, etc), or against your network over some ports. Even if the server is on it’s own VLAN, a vulnerability or weakness in your router could still lead to a compromise, meaning that any devices that is in any way connected to your router (including personal devices) could be attacked.

There is a lot of depth to this topic of course. And at some point you just calculate your risks and weigh your options. There is no such thing as perfect security of course.