I differentiate between the software and the audio samples. I won't run software that I don't have control over. I want to be able to audit, edit, and redistribute the software I run. The samples and any other "assets" I'm less concerned about, although I prefer if they are sharable.
there is no risk to the end user...
How do you know if you can't see the source code? We know MuseGroup loves telemetry, perhaps they've snuck some in to MuseSounds or MuseHub, or something worse (I doubt they have, but we have no way of knowing).
What about when MuseGroup goes out of business, or abandons the software? What about when there is a bug that they refuse to fix? Or when there is a feature that you want but they won't add? Proprietary software gives you zero control over what the software does or how it does it.
If the Korg synth runs software that can be changed, then you should be able to change it. If only Korg can change it then you again have no control over what it does or how it does it. You are at the mercy of Korg for new features and bug fixes.