Well, the risk there is slightly higher as you are assuming rescue partition does not have an exploit planted? Empirically, we've had iOS jailbreaks that exploited higher level kernel, but not bootrom.
That said I do it because DFU has been just faster than having the system do "Internet Recovery" not strictly for security purposes.
FWIW, you do not need another Mac to DFU restore another. Any computer could do[1].
Well, I used to open with wiping the partition table from rescue terminal, when I couldn’t prove anything was sealed properly, which forces Network Recovery from the bootrom (and serves as a nice confirmation that it was wiped) — but now that the OS can get a secure attestation from the bootrom, I don’t stress quite so much about that. There are a lot of advantages to attestation in time savings!