I'm using it for a while now, and the only problem I had with them a while ago is that the miners don't mine your tx and let it pending for I don't know how long, even for over two days I experienced once, making inexperienced users to try to make the tx again and then they get to keep the mining fees.
It is actually very secure you know. Your private keys are needed in order to make and to log into your account. The best way I can explain this is that they are needed to make some kind of extension of your wallet, it's a decentralized exchange and the only way to enter it is with a pair of your keys and address. You create some kind of 'channel' between your account and their exchange. Once that channel is created you still need to deposit the tokens from your main wallet to that account you just created, the deposit can only be asked from the inside of EtherDelta and must be sent/confirmed from your wallet.
They don't have access to your funds unless you send them from your wallet to that copy of your account you just made with your address and your keys, and the only way to get scammed is if you are on a phishing website and you send your tokens to them, then, those one are lost.
That's probably what OP did, he did send his tokens/ether to one of those fishing sites... Get over it OP, shits happens!! Learn from it...