Unconfirmed Bitcoin transactions are still Bitcoin transactions, with the advantage that on the Lightning Network you have a built-in protection against doublespends in contrast to accepting 0-conf tx.

You are correct that funds in a Lightning Network wallet are at higher risks than those in a cold wallet, but this applies to all "hot" crypto wallets. Most LN wallets supports "Static Channel Backups" which you only create and store once after setting up a channel. In case your phone goes up in flames, you can use it to safely close your channels and receive your balance.