In the "not your keys, not your coins" setup, that trusted third party is the government, which gives you security against theft, kidnapping, burglary, etc, so you can keep your keys safe.

Adding another trusted third party, like a gaming company, to the mix, to act as the custodian of who owns what, creates a much less-reliable / more-fragile private property system, as that custodian, at their own behest or that of a political faction who holds the reigns to the govenment, can deprive you of your control over the virtual asset.

So to put it another way, trusted third parties can also be a threat to private property. The right balance between being protected by a trusted third party from theft and robbery, and being protected against a trusted third party stealing and robbing you, is the "not your keys, not your coins" setup, where the trusted third party only enforces rules against others trespassing your person or home, without having custody of your property on your behalf, so as to not have intimate knowledge of and control over everything you own.