I personally have investments with multiple providers, but more for access to specific investments at the lowest cost rather than concern for risk of collapse.
Check if your country has standard insurance for financial accounts. And check with your provider to see if they have supplemental insurance.
For example, almost all brokerage accounts in the US have SIPC insurance which provides for protection for missing securities up to $500k per provider (and certain different types of account at the same provider are also covered up to $500k each). Note that this is on top of actual recovery from the financial firm in the first place - most of the time during a collapse the investor clients retain all of their securities so no insurance is even needed.
Beyond that basic level of insurance protection, many of the larger providers also have insurance policies that provide protection for larger amounts. Vanguard has supplemental insurance up to ~$50 million per investor, though there is an aggregate cap of a few hundred million total.
The risk of loss of assets from a custodial account is quite low - as you note the assets are required to be separated from the operating accounts of the financial firms. Even if a financial firm goes under, most of the time the vast majority of client assets are safe and returned to investors. Even in the case of Lehman Brothers, investor clients in custody accounts received all of their assets back.
The annual report for the SIPC (
https://www.sipc.org/media/annual-reports/2018-annual-report.pdf) shows less than 1% of investor money not paid out to investors.
Even in cases of outright fraud (Bernie Madoff), investors holding less than $1.4 million received it all and investors with greater than that amount received ~64% approximately.
If you are dealing with large, reputable financial firms, the risk of loss from a financial firm collapse is extremely small and not something I would be at all concerned about.