Yes, this is a risk. When you deposit coins to any exchange, casino, mixer, etc., then you are giving up custody of them. This is a risk I am willing to accept with ChipMixer due to a number of reasons: Firstly, I am mixing small amounts of coins at a time and not leaving amounts I can't afford to lose in the custody of a mixer, and secondly, they have mixed hundreds of thousands of bitcoin over the years without a single incident of loss or theft.
I am sure someone will create a way to reduce the risk soon, maybe something similar like Bisq is doing but used for mixing of coins, like you mentioned before.
Maybe we should all start thinking out of the box for solving this problem.
I believe there's a market for a LN-based mixing service. Not sure if it might require an extension of LN and / or Bitcoin, but it should be possible without. Basically a way to submarine-swap on-chain funds into different LN channels, maybe even splitting it and having it arrive in multiple different LN wallets / nodes using
https://bolt12.org/ invoices for instance. Then, similarly to ChipMixer chips, you can submarine-swap them all at once or over time as you need them, back into an on-chain wallet.
I believe Lightning Network will be much more popular in near future, especially after I saw then news that USDT recently got it's first transaction on LN using OMNI Layer and Bitcoin-powered service provider Synonym.
This will bring more liquidity to Lightning Network, and even if I am not a fan of any stable coins that are not really stable if we know that inflation is growing every day, but it will bring more attention for sure.
I think that Chipmixer or some other mixing service can improve in future and bring some version two that would make it much safer for everyday users.
Chainalysi and other tracking companies are working non-stop with new ways to track mixers and LN, but don't think for a second that good developers are not thinking of new ways for improving their service.