Actually the online wallets are MUCH less safe. A hacker, for example, might gain control of the server and trick you into sending your private key / pass phrase or, if the private keys are stored on a server they could just take them.
Local solutions, preferably offline, are much more safe since the only way a hacker could get access is by breaking into your home. Given most of the hackers are in China, it's kind of unlikely they are going to buy a plane ticket, get a visa, fly to your country, try to find your paper wallet, etc....
By contrast, very likely thousands of them are attempting every minute to break into online wallet sites and hack them.
But if large agents such as Microsoft and Steam are actually allowing payments from bitcoin users; isn’t it safe to assume that the security of your bitcoin address has improved? Bitcoin is become a valuable commodity; therefore if more security measures need to be implemented, then I’m certain such action will be taken in due time if not immediately.