Wojciech I'm just a community member, but yes, bunq is a European bank that deals exclusively in Euro on their own accounts. For the Local currency feature (foreign currency accounts), they integrate the services of a partner.
Currencycloud belongs to Visa and is a big player in their field, also working with other European banks like Revolut, Penta etc. and are authorized and regulated by the FCA. That means that the money on the Currencycloud accounts is held at tier one banks, and even if bunq and Currencycloud would both go bankrupt, it would almost certainly be totally safe. But indeed, it's not guaranteed for by the European Deposit Guarantee Scheme.
All of this is irrelevant though as long as you only have regular Euro accounts at bunq. In that case, the money is with bunq and fully insured by the Dutch Deposit Guarantee Scheme up to 100.000 Euros per customer.