Potentially, yes. If the alliance you join ends up getting drawn into a conflict with another alliance then anyone flying their affiliation naturally becomes a target on the battlefield.
However, if you do not join an alliance you are effectively a permanent target of opportunity for every jackass in the world who feels like beating up on someone who has no real serious defenses against it so they can steal your stuff.
It's true unless they're lying. And if they're lying... leave.
It's doubtful they would be interested in you paying it back. It's to their benefit to build you up so you are a more effective soldier in their ranks, they're being compensated by your presence on their roster already.
You have a couple ways you can go.
1. You can join one of the truly major powers. This tends to leave you more secure during relatively peaceful periods in the world, but if there's a truly major inter-alliance war (it's only a matter of time before it happens again somehow) the major powers also tend to be so extensively tied into mutual defense and aggression pacts that you're almost definitely going to end up in combat.
2. You can join a smaller alliance on the fringes of the major power blocs. Slightly less security in general but usually still more than enough to shield you against casual acts of violence, and greater flexibility to place yourself somewhere where you won't end up being dragged in the next time Armageddon breaks out.
Of course there are a lot of other considerations as well, but those are probably the two major categories you'd be looking at. For the first, just click on "Display all alliances" on your nation control panel and browse around those ones up around the top of the list until you find one you like. For the second you'll have to dig a bit more, there's a LOT of smaller alliances in various nooks and crannies of CN.
And of course, whatever way you go you want to end up with a group of people you won't want to strangle after interacting with them for a week...
(Edit: ODN I see... they're good orange people. Make sure you get some cake.)