The share folder does not have access to the internet and the internet does not have access to it. It is as secure as any standard folder on a Windows 10 machine.
One would have the option of simply not connecting the windows laptop to the rest of your network and so the internet at large. And in fact there are a lot of machine shops where there is no WiFi signal accessible. In that case you would have to sneaker net your g-code to the laptop.
I said it before in this thread and I will reiterate, sportybob's hardware solutions for old Milltronics machines are a wonderful option for adding a USB drive to your mill.
Cheers
SF