Im using a third party wallet that dont have the ability to give private keys to thier users and im using it for almost 2 years and a half but so far so good . I dont experience any issues regarding on their security or service .  Not all kinds of this wallets are bad  . Its only up to the users if how he secure/use his wallet . Bitcoin scams usually happen on person to person transactions or on online exchanges but i rarely hear a scam news about online wallets  .