Other than the fact that it takes up space it isn't a problem at all. Java is completely secure in that it runs in a sandbox and cannot access the system without explicit overrides from th developers. Sometimes this needs to be done, for instance so that you can save data from a java app to 3.5 or whatever.
The folder is simply cache to speed up the system. Deleting it will simply mean that it has to be downloaded again next time you run the Java app.
Bear in mind though that the smallest amount of space which an icon just 200 bytes long will take up on your Hd is 32K....