Well, in most cases you don't need to worry. However, there is a Black Swan risk. The risk is that if things get so bad that the fundamental means of contract enforcement is broken, e.g. the government literally shuts down and courts stop operating, then it is in the interest of the ETFs to close the vault doors and tell investors to F off.

This risk is very low, but you need to bear in mind a LOT of gold investors are here specifically because they want protection for the end of the world, so a lot of them do consider black swan risks to be very real.