I think there is a very big risk to lost money on illegal market. That is why crytpocurrency have so bad reputation.
In my experience, this risk is
People are frivolous and inattentive at first, and then blame the circumstances that they themselves have created.
Cryptocurrency market is not secure. Hackers continuer to hack the exchanges. Today exchange Bitpoint was hacked and people lost $32 mln.
After such news usually cryptocurrency market falls like now. Cryptocurrency market needs a good and secure exchanges.
But you do not know if the exchange is safe or not. Japan regulator check all the exchanges for security. But Bitpoint was hacked.
So you mean that the check of exchange by regulator for security does not quaranty the security.