No, don't worry about pen tests. Just don't store your Bitcoins in someone else's control, like an online wallet. This really isn't that hard.

The only time you should be exposed to any sort of counterparty risk in Bitcoin is when you buy or sell them. And if you use a reputable service like Coinbase or Bitstamp, and only keep your Bitcoins on that site for the few minutes it takes to buy, sell, and transfer them, your risk should be miniscule.