No not really, the connection with the Alldebrid servers is encrypted. So your ISP can't see what you are downloading. But Alldebrid might store your IP and what you are downloading. So if you don't trust them maybe a VPN is recommended. Though if you live in a country where they don't go after individual pirates then you don't have anything to worry about. And usually they only go after people who are sharing files, which you automatically do with torrenting, but since you only download files with Alldebrid you aren't sharing.