Additional risk on top of market swings

Is there any overlooked risk here?
For example, if I invest in a Vanguard product through the Amsterdam stock exchange using Saxo, what happens if Saxo fails and/or some of my assets are missing due to theft or fraud?

If you are investing with Saxo, I don't think you need to worry about theft or fraud. If you can prove that an employee of Saxo robbed you, then Saxo will restore your investment in full.

I think you buy units and get ownership in the Vanguard fund. This should be separate from Saxo itself. So if Saxo fails, your ownership remains.

Brendan