ETH staking on Coinbase vs. via LIDO on Ledger Live

I've had some ETH staked and locked on Coinbase for the last two years, and now that it's unlocked, I'm consider moving it over to my Ledger and staking via LIDO on Ledger Live.

I'm curious if anyone can share a perspective on risk profile of these two options. I get that on Coinbase 'not your keys, not your crypto'. However, I don't know much about LIDO risks aside from the standard 'there's risk with smart contract code vulnerabilities' etc.

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