You do keep custody, but keys are "hot" of course, so lower security than cold storage, especially if you are a maker, always connected with hot keys. But it's the same with Sparrow+Whirpool or with Wasabi (unless you use the latest Wasabi+Trezor integration).

To elaborate more on nostr:npub1t7wmzee4f5mhne4rurk2mdyr8hhagm3sklt02h7qk7xy7d6429fqlq3rr7 's answer, I don't think Wasabi has specific "privacy leak" issues, but it definitely has ethical issues because it partners with chainanal companies to blacklist some UTXOs based on their political ranking. Whirpool, otoh, may have some privacy issues, but hugely mitigated when used with Sparrow (or Dojo). I still prefer Joinmarket.