If you're including script from another origin, you must absolutely trust them, and their security. If you get hit by a bad script, you should purge all site data using the Clear-Site-Data header. CSS is much closer in power to a script than an image. Like a script, it applies to the whole page. CSS can't modify origin storage, and you can't build a cryptocoin miner in CSS (probably, maybe, I don't know), but malicious CSS can still do a lot of damage. As explained above, they can be used to make a keylogger in certain conditions. They can also be leveraged to make content disappear, add new content or move existing one, etc.
Third party content has a high impact within its sandbox. An image or a sandboxed iframe has a pretty small sandbox, but script & style are scoped to your page, or even the whole origin. If you're worried about users tricking your site into loading third party resources, you can use CSP as a safety net, to limit where images, scripts and styles can be fetched from. You can also use Subresource Integrity to ensure the content of a script/style matches a particular hash, otherwise it won't execute.