How safe is it to build and flash LineageOS myself?
Will I be getting security updates ?


LOS team will keep merging in Android-side security patches, so each time you sync and build you get the latest they've merged, but kernel-side ones are up to you.


Will it be safe to use banking apps with the custom ROM ?


Root is optional on LOS - if you don't opt into that, the risk is low.


What can happen if I lose/someone steals my phone ?


With encrypted data and a good enough lockscreen passcode, your data will be secure.


Should I stick with my bloated stock ROM ?


Why did you ask this question in the first place? ;)