I think you can both say you'd rather live in the US, and at the same time our intelligence agencies do just as much (if not more) damage worldwide. For example if you live in South America the US is a much bigger risk to you than other countries because they overthrow any govt they don't agree with, regardless of what the people of the country want. Russian spying doesn't seem to result in much damage as far as I can tell, while US spying is regularly used to undermine democracy.

If the motto of a country was "we'll keep you safe inside but we'll be treating everyone outside terribly", then you'd definitely rather live inside that country, but it doesn't mean they're less of a risk to the world.