Buy a penny stock or an illiquid option and you certainly won't get most of your money back. In addition, there are many other hidden risks. For example, you could have the broker increase the margin rates overnight leading to forced liquidations or the stock could be halted and impossible to trade for months.

You can even end up owing more than your whole account is worth if margin is enabled.

Right, if I’m unlucky then sure, something like this can happen.

But I’d have to be really unlucky and/or careless to really lose 20%+ of my money.

Whereas with crypto it’s so easy to lose 100% plus gas fees, all the time.

Options work differently, you can lose all your money.

If by accident I buy an option / wrong option, realise that, I can probably sell it and get my money back, less commission, spread and change in value.

Yes but if the option expires, and you realize at the end of that period you bought the wrong thing, then that is the case I've talked about.

Not sure how likely is that scenario though.