I use KDE. Some use GNOME. Most other options are probably to be left out as X11 is unsafe.
Cosmic is not nearly finished, but will probably be a bit safer, as its in rust, even though not tested.
Then there are window managers like Sway, Hyprland, waymonad, wayfire, etc.
RaspberryPi also has their own Wayland Desktop.
Is every Wayland Desktop / WM equally safe, what are other variables here like language, features, control over permissions, etc?
Your desktop handles Wayland, Xwayland, preinstalled apps, file management, some services and GUI integration, networking, Printing, Bluetooth, GPS (if available), cell data (if available)… so I would say it does in part come from the Desktop.
The Desktop is software which needs resources, gives access, reads and writes data,…
For example SELinux Confined Users break KDE, but not GNOME afaik