How dangerous is it to download Nintendo ROMs?

Of course I know that it is not legal but wanted to know whether Nintendo "searches" for people who download ROMs and punishes them.

Does it make it more or less legal whether you are actively looking for it or not?

It's punishable point.

It is up to you whether you still download ROMs.

Not really. Nintendo is primarily interested in the providers. Finding individual people who have downloaded something is extremely time-consuming to impossible.