You will be perfectly safe
I don't know JED well but if it's anything like RUH, the worst is you will be bored ! How long is your connection ?
There will no doubt be food, wifi, recognisable coffeeshop brands, ATMs and a smoking room. All the comforts of home (except alcohol).
As I'm sure you know, you won't be able to leave the airport without a transit visa, which are virtually impossible to obtain.
Treat it as a cultural adventure
There are other threads here about connections through RUH.
hth