LST/re-pledge point returns are really "created out of thin air"?

The more I look at it, the more I think it's basically splitting the same safety budget into several parts to sell: LSTs are essentially staking interest plus some secondary market premium/discount fluctuations; re-pledging is more like renting out "your ETH backing" to other services, so the returns come from people willing to pay rent and the protocol's incentive subsidies. But the risks are also straightforward: if the underlying gets penalized or punished for misconduct, or if there's an incident with re-pledging, it could all be connected and suffer losses together; plus, when liquidity is poor and discounts widen, it's hard to even run away. Recently, there's been talk about interest rate cut expectations, the US dollar index, and risk assets moving together… In this environment, everyone prefers chasing yields, but I always prefer to clarify the "source of income" before taking action, rather than just focusing on the APY number for fun. Corrections are welcome if I'm wrong; I'm still studying the materials.