"Short transfer” is whenever the rail planner app thinks it is short. I don't know what criteria it uses though.
“Transfer by foot” is usually a short transfer between 2 stations or 2 parts of a station.
Whether a transfer is risky depends on the country, the actual length of the transfer, the station etc. and cannot be answered without seeing the exact timetable.
Also note you should not use the rail planner app to plan. It is offline and has far too few updates to be reliable enough for that purpose. Use national planners or apps and for international planning, use the DB planner or DB Navigator app.