Linux is a gaping sieve, and the other desktop OSes aren't much better.

Attacks on the interfacing software is what I would be worried about.

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You should never trust the interfacing software, regardless of the setup.

Always “decoderawtransaction” and verify before broadcasting a tx is the only way to be 100% sure of what you signed.

This applies for cold wallet setup of course, “spending” wallets can be much more yolo.