Electrum servers use clearnet domains no .onion so the info has to be sent through an exit node

is there are security risk with this? can i lose my bitcoins?

From https://bitcoin.org/en/protect-your-privacy

"You can use a Bitcoin client like Bitcoin Core that makes it difficult to track your transactions by creating a new change address each time you send a payment. For example, if you receive 5 BTC on address A, and you later send 2 BTC to address B, the remaining change must be sent back to you. Some Bitcoin clients are designed to send the change to a new address C in such a way that it becomes difficult to know if you own Bitcoin address B or C."

which client has this feature?