Sure, but most strategies have such small positions that even if the market went to 0 instantly at your maximum long position, you'd still lose less than a year

Sure, but most strategies have such small positions that even if the market went to 0 instantly at your maximum long position, you'd still lose less than a year's worth of PNL in that strategy. The more relevant risk of blowout is something like Knight happening, statistical black swan events are not really an issue (in HFT).