I'm pretty sure that if Amazon had failed at any point, all of its employees would have been out of a job (and not just the engineers, also the thousands of minimum wage employees), and it's not like Bezos would personally be billions in dollars in debt to the investors of the company -- companies don't work like this, at least in the US. What was exactly the risk taken here by himself, personally?

Amazon was founded in 1994, more than 25 years ago. You are talking about Amazon in 2020. There were many points throughout those 26 years were it could have gone down. The risk he took was building the company from zero, hiring people and paying them a salary. Amazon now employs over 800000 people. If you think that has no merit and Bezos took no risk, then you really don't understand how things work.