Asymmetric keys generator service

Hi, I have a dilemma:
Supposing secure transport of the keys and trust on a server, is a vulnerability that a remote service provides public and private keys for the user? What are the risks? Or there is no difference (in a security perspective) between generating the keys with the service and generating it locally?

Private keys could be know by the admins of the server where the key is generated. Is the case with the default keys of protonmail or keybase. Thats why is better to generate the keys locally, and upload the private keys to the server to be store in a protected area ciphered by a password.