Not at all. SHY is invested in short term notes. Little risk in this one unless interest rate spike overnight. This is likely not to happen. You still need to stay diversified. Good ETF resource at the bottom of the investment portfolio page http://www.discountinvestmentadvisor.com/
Yes, I'm concerned about all the ETFs - what is the situation when the sponsor/broker goes belly up. My understanding is that the actual funds of an ETF like SHY should be invested in the Treasuries themselves - separate from the assets of the sponsor - and that SIPC would insure the proper payment of shareholders from the ETFs (ie. underlying Treasuries).
But does anyone KNOW the facts in case of a Lehman's default?