Can malicious software meant for Windows affect a Mac through Wine?
Using WINE to run the software makes it effectively a Mac application, with all the privileges of the user.  The upside of that is that if you are running it in a non-admin account, it shouldn't be able to damage the actual system.

However, if you are linking in DLLs from Windows, and the software takes advantage of flaws in those DLLs, I am not sure what to say about it.

For example, I have used Windows to find out the libraries that an executable depends on, then copied those libraries with the executable into a Wineskin wrapper to make a Mac "port" of the app.