It depends.
Is this an .exe file in an email attachment? Then usually no.
Is this a github project which asks you to “curl totallysafe.com | sh”? Then often yes.
It depends.
Is this an .exe file in an email attachment? Then usually no.
Is this a github project which asks you to “curl totallysafe.com | sh”? Then often yes.
I only run random bash scripts from the internet with sudo permissions
But for an attacker that convinced you to run some malicious shell commands (e.g. `curl ...| sh` or copy/pasting more than you bargained for) that's only a minor inconvenience; next time you sudo, they're root anyway.
//Edit
Also, an attacker aiming for root is a red herring. One compromised account can already be bad enough - why would they need root on your private computer when they already stole your password database, keylogged your master password and created an off-site backup of your home dir?
In any case safest route is to always do a new shell (or a docker vm) for fun activities.