This has happened to me a couple of times with eBay sales.

Is it safe to transact with people who use freight forwarders in your experience? Do you lose any protections?

Out of fear, in my cases, I cancelled the auctions.

On second thought though, I wonder if it's actually the buyer using the service that is more at risk (introduction of 3rd party, more complex delivery, probably impossible to return, etc)

What's not safe for you? They pay you the money, then you send the item to the address they ask. You already got the money! Cancelling the sale because the buyer wants to spend a bit less on shipping seems like an awful thing to do. International shipping gets ridiculously expensive, so combining multiple small packages into one shipment makes perfect sense.