You don't put your key there. It just forms the link where you go to. The steemconnect link that is generated is indeed https and I implore you to verify the certificate if you are untrusting of your network.
But, just because it doesn't hurt, I have edited the post. The link from the post is https now.
Awesome! I didn't try it out because I've already delegated. My newb brain throws out red flags upon seeing private keys + http as a way to err to the side of caution. Thanks for the explanation, it definitely makes sense.