What are the risks involved in unlocking the bootloader?

A locked bootloader is one that will only boot an OS and recovery that it "approves" of. Vendors digitally sign the recovery, kernel and kernel modules and unsigned binaries are refused to flash and boot. This is same as **Secure Boot** provided by UEFI. In PC, one can simply disable the Secure boot by choice if one wants to boot unsigned binaries. But on Android devices, every vendor has its own lengthy process to unlock the bootloader like providing unlock tool, unlock code and device registration. Vendors are making it even harder like [HMD initially refuses to unlock Nokia bootloaders](https://androidcommunity.com/hmd-initially-refuses-to-unlock-nokia-bootloaders-changes-their-minds-20171002/) and [Huawei will stop providing bootloader unlocking for all new devices](https://www.xda-developers.com/huawei-stop-providing-bootloader-unlock-codes/) . So how does a locked bootloader strengthens the security and privacy of end user or does it serve some other purposes too?