The money is stored on your PC when you aren't trading, but after you start trading it would be under the control of whatever code the decentralized exchange runs on. A hacker who found a bug in that code could make a bot to exploit it through thousands of different trades simultaneously. Anyone trading at that time could have their Bitcoins stolen.
No it's multisig wallet with escrow, the coins cant be stolen, and the fiat part of the transaction is also safe because bank transaction can be reversed.
Also scammers are discouraged too because it works with security deposits, that they lose if they scam, and the arbitrators have security deposits too, and they are trusted people.
So the risk of theft/scam is low.