Something I've been thinking about too. I think signing into a bunch of clients with your private key is probably the greater risk, but I have also not been comfortable giving Alby my private key.

There are other options that I have yet to look into in any meaningful way so I'm not advocating for either. One is nsecbunker.com and the other is nsec.app

The latter is newer and I've heard mixed reviews but it is open source and allows users to store keys on their devices. Could be worth exploring.