I read that I can get a lot more staking rewards when done through the Defi wallet but just wondering if this comes with risks or if it is worth doing?
Putting your funds on crypto.com has its own risks(
https://crypto.com/document/mco_services), and so does on your own at not-so-Decentralised Finance.
Managing your own fund surely may give you a better return since they didn't cut out any profitability percentage of any investment or staking or lending, but it opened up the risk with your undue diligence in securing your wallet/account, security of the staking/lending platform itself, and your own strategy to manage the funds.
You can take a look at one of many of the risks here:
DeFi hacks [history]