If I transfer my funds to a pool on the Daedalus wallet, my coins remain with me or are received by a staking pool. And is there any possibility that I can lose my funds sent to the pool?
They remain in your wallet. At each epoch, the current balance of your wallet is recorded and you get rewards based on that value three epochs later. So, everything you put in there and the rewards automatically increase your stake.
Oh, and you can also spend them at any time. Staking is just registering “I want to stake everything in this wallet, whatever that may be at any given time, to this stake pool.” on the chain. Nothing more.
If someone tells you to send Ada to an address to stake then it’s certainly a scam and you should run.
There is no possibility to lose Ada through staking at all.
No, you can not lose your funds when you delegate/stake, because technically your ADA does never leave your private wallet.
That is the great thing about staking in cardano. And also it is not locked.