Why is the molting process a dangerous time for arthropods?

Because when an arthropod sheds its skin, its new skin underneath is very soft, so the animal can grow once it's free of its hard armour. They're easy squishy prey during this period. They're only safe once the new skin hardens again.

Oh, not to mention the process itself often renders them immobile. Some (Spiders etc) have to lie on their backs for hours while taking off their 'panties'.