Only if you do assisted MS. You can control all the keys if you want. And as long as you hold the minimum signer threshold (2 keys in a 2/3) you're only sacrificing privacy to the 3rd key holder (which is obviously a big consideration). 

 Not really; but it depends on implementation.  Most I've seen suggest that you should retain possession of 2 of the 3 keys in a 2-of-3 multisig, for example... There is no counterparty risk if a) your authorization is required to move funds; and b) you don't require anyone else's authorization to move funds.

The real risk multisig introduces is complication risk: simply more keys to keep track of.