I never unsubscribe from junk email. Never. As you noted, it might give an opening for malware.
But it’s more than just that. When you unsubscribe, you’re telling the junk email’s sender that your email address is a live one. So there’s a good chance you’ll be placed on even more junk lists.
So I mark the junk email I get as spam instead.
This is exactly what happens. Best thing to do is simply block the sender.