What can go wrong? Sats can't just disappear or get hijacked, they exist at the source or the destination always. If you're on both ends then they're always yours. There's no additional risk* with a transaction sitting in the mempool waiting to get into a block. Nothing bad can happen. 

*Technically with most common address types your transaction exposes your public key, which makes a future quantum computer attack more feasible. We are a very, very long time from that being a legit concern. Taproot addresses have bare public keys that are exposed from the moment they receive sats, as an example of why that isn't a thing to worry about at the moment. 

Intellectually you are correct. As someone who has anxiety and is pretty new, it would make me terrified. 

Aardvark

AskSN

What do you think was the oldest transaction that cleared with the mempool?

Why would it matter if it takes months if you're sending to cold storage where it will stay for years or decades? There are definitely cases where a transaction would need to be faster, like if you're sending it to someone else. 