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.
The only way you cannot be scammed is if you hold your own private keys, because it's the only way to know that what you hold, will not disappear (given proper security measures taken).
It's obvious that the trust on bitcoin itself is higher than the trust of a government delivering on their promises of paying futures which are cash settled and nobody holds the assets. If CME or CBOE end up shorting bitcoin and they end up on the wrong side of the stick, they will face massive loses, who knows if they end up not being able to pay market participants to avoid systemic risk (they would end up needing to prints lots of money to cover losses, and they may end up screwing participants to avoid that). We've seen deposits over $100,000 not being covered in banks before, I wouldn't be surprised if they end up defaulting if they need to..
As I said.. just hold the bitcoin, trust code, not promises.