So let's say 100 of my options just vested. That means that I can choose to buy these options at any point in the future, and normally the company will buy them back from me immediately.
If I choose to do so, then I will have no risk of a loss, because like you said, if the option is underwater, then I will simply not exercise.
The only reason I may end up having to take risk is due to limits on exercise windows. For example, I have to exercise any vested option within 6 months of leaving the company. In that case, I may want to buy the stock, and hold onto it if I expect it to appreciate. Then I will be taking risk, effectively like buying any other stock that may depreciate.