I can lend money to others without them as middlemen

Private banks are highly regulated businesses to avoid fraud and maintain the trust and stability of the financial system. They also play a key role in the creation of money supply. Banks literally create money when they issue a loan, something no other business can do.

and at the same time they seem to suggest that having money in banks is not risk-free

Because it isn't 100% risk free: your bank can default and if your cash balance exceeds the amount that is insured by the government you can lose that excess.

The central bank cannot go bankrupt because it issues its own currency. You could experience the effects of inflation, but you would be protected from bankruptcy.

That's why authorities are concerned about allowing citizens to hold their savings in central bank accounts.