The HBD holder assumes the risk of a peg break in the event of a catastrophic fall in the price of Hive, assuming they don't exit their position before the haircut rule kicks in. But investors in HBD can monitor the risk level (i.e. how close HBD is to the haircut ratio and how much they think Hive may drop in price) and make an informed investment decision.

And it's not like a collateral-based system doesn't imply the exact same risk, unless the collateral is the same as the underlying stable coin.

And even if it is, then you have third party risk. For example, say someone is promising to back to a USD stable coin with real dollars (ala Tether). What happens if those dollars disappear?

All investments have risks of one sort or another. Personally, in the crypto space, I think HBD is one of the safer places to invest for predictable returns and I've taken advantage of it several times in the past (currently I think Hive is more attractive at current price, however).