I didn't mention NAT. I'm comparing direct connections between peers with using a centralised server.
It is. Considering the kernel access often given to multiplayer games for anti cheat, and the abysmal attention to security and ability to write secure code by the average application developer, letting Internet randos send arbitrary instructions directly to your machine may not be the best idea.
Unless you care about security of course. “A user” in your sentence can quite frequently be vulnerable or malicious software.