You have a legal contract that is telling you that you are just acquiring a bitcoin or whatever your are buying only that *indirectly*
You can not be scammed by the CME or by the CBOE...
I only feel safe if im holding the private keys of my bitcoins. The futures are nothing but some contracts in some computer, it is a distraction to me, the people involved don't even hold the underlying asset.
Everybody who is investing in futures are the lazy ones who are not even capable of creating a wallet or just an account on any exchange who has short/long positions.. Or just any broker that is safe enough, they all have short and long positions.