I suggest to avoid all third-party wallets in which you do not solely control your own private key.
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 .
If you are referring to GreenAddress, it's true with them you do not have access to your private key, but they don't either, so they are an exception to the rule - there is confirmation required between the user and platform using encryption to access and move funds.
I have also used GreenAddress in the past, and I highly recommend that users keep a copy of the passphrase in a safe spot when using that service.