Web versions are definitely important for taking part in jams. Many people won't play download only. We tend not to do them either, but will for our jam. Still, we run them through anti-virus scanners and will play in a VM or sandbox. We are also on Linux, so any Windows only games go through Wine or a VM.
For the web export it is nice to add a closing screen, since the game stays up in the browser showing the last screen. We just added a basic "Thank you for playing" scene, and load that above anything else just before exiting. That gives clear feedback to the player that the game reacted and has ended.