Computers communicate with each other through protocols. For example, web servers communicate with browsers using HTTP – the Hypertext Transfer Protocol. Another protocol is HTTPS – the Hypertext Transfer Protocol Secure. The latter is encrypted, the former is not.
As such, the safety of the communication is enforced by the protocol of the email server and is not an implementation detail of Mathematica. By the look of this site, it seems that Gmail uses TLS/SSL, which are both safe options. The encryption inherent in these protocols is such that it would be very difficult to decipher the emails in plaintext by intercepting your network traffic.
You can specify that TLS or SSL should be used with the option
MailServerConnect both accept.
Another option related to safety, although there are no instructions for how to use it with anything but
ServerAuthentication. The description of this option indicates that Mathematica can verify at least some certificates automatically.
Finally, Mathematica can store your email password locally, and there is a description in the documentation of how this password is protected:
Email credentials can be optionally stored via the "Password"
interactive dialog. The credentials are encrypted using keys stored on
your computer's hard drive. The encrypted credentials will be
transmitted to the Wolfram Cloud and may only be accessed after you
have authenticated using your Wolfram ID.
Beyond this, I do not expect any trouble. Mathematica does not store any information regarding your emails as far as I can see.