You can’t steal the tokens if you are running a 0x exchange.

Willing to bet your savings on it? I'm not.

Only 0x can steal them

That's not true. Nostrademons [0] explains it better, but in short, trades occur atomically, so the assets never leave your possession.

[0] https://news.ycombinator.com/item?id=20044091

They do leave you and go into the relay. The swap happens on finished contracts.

The stealing occurs in the relays not in the contract.

I think you have a misunderstanding of how the protocol works. At no point do your assets "go into the relay." The relay only takes your signed orders (not the actual assets), and the tokens literally do not leave your wallet until the time the trade is executed. No trades can be executed unless they have a signature generated by your private key.

So, no. The answer is no.

EDIT: it's absurd that people continue to fall for this nonsense, but here we are, I guess.

0x is a decentralized, non-custodial exchange protocol. The UI could have malware though, which is why it makes sense for various relayers to have a single UI.