In Enterprise, some Ferengi are presented as pirates, as well as merchants, so the concept of losing shipping to them, hence their potential danger, would not have been unknown. Additionally, the only species definately known (on screen) to the Federation that are likely to have contact with the Ferengi, prior to the official first contact with the Fed are the Cardassians, possibly Bajorans and maybe Talarians, hence limited or incorrect intel. Maybe, at some point the Ferengi did have to defend themselves against Cardassian aggression and did well enough to maintain their independence, and somehow intel on a species who could hold their own against Cardassians, given the Federation's own trouble with Cardassians, would seem to be a potential threat. This would also conveniently 'explain' the late forst contact with this advanced specied, located not too far from home - the ferengi were tied up with Cardassians, and, until the Cardassian Wars, there was no border between Ferengi territory and the Fed, and that access between the two was only created when Cardassian territory shrunk after the war.