You have two levels of safety. First, Saxo is less likely to fail than the average European bank. Second, shares purchased and held for you by Saxo acting as your broker are supposed to be segregated from Saxo's own assets, and cannot legally be claimed by their creditors if they go broke. The risks are creditors with badges (the government changing the law retroactively to seize more assets), and a massive embezzlement conspiracy by Saxo management. In this wonderful new world of bail-ins and negative interest rates, anything could happen, but some things are less likely than others.
In your place, I would seek some diversification. Even if other investments are less secure than Vanguard ETF shares held for you by Saxo, they improve the overall safety of your portfolio if they are very different. With five investments of $100,000, there are more chances for something bad to happen to one of them, but losing all five becomes very unlikely.
