NESticle, as I recall, had plain blue menus (but it did have the severed hand cursor).

It was Genecyst that had the bloody menus.

Back in the day, we didn't really worry about software like this being malicious just because of the author's gruesome sense of humor. It was all part of the fun. Back in the 90s, people were edgy like that. It's not like today where you're suspected of cryptofascism for not properly reciting the right nostrums. If it were malicious, someone would've found out, word would have spread around the scene, and the author would be branded the worst of lamers. People had reputations to uphold and good will to farm out of the community, even when running quasi-legal programs to play pirated ROMs.