I use KDE. Some use GNOME. Most other options are probably to be left out as X11 is unsafe.
Cosmic is not nearly finished, but will probably be a bit safer, as its in rust, even though not tested.
Then there are window managers like Sway, Hyprland, waymonad, wayfire, etc.
RaspberryPi also has their own Wayland Desktop.
Is every Wayland Desktop / WM equally safe, what are other variables here like language, features, control over permissions, etc?
a DE gives no security features that give your system additional security, yes. indeed, a running DE makesbyour system less secure, in some sense. but exactly here you can have less and more secure DEs, and some DEs have security features that make the DE itself more secure than other DEs.