Both are risky, yes; and covering losses is more than just money, so you have a point.
Issue with blockade boils down to 2 things:
1. Marienburg is no slouch in naval warfare. They had lots of practice and Barak Varr will have to go pretty much balls deep to defeat Marienburg in their own home waters. Dwarfs still are somewhat more likely to win, I think, but it will cost, time and blood. And time dwarf fleet is not at home is time local Orc and Skaven fleets will be free to do whatever they want, which, whatever that may be, is worse than Marienburg throwing a fit.
2. Wildcard: Ulthuan. If they do, in fact, have defensive alliance, bet's on Ulthuan. They...rule the waves, that's it; they are fantasy British Empire to dwarf Venice, their only peer power is Nagarroth on the seas. It will cost them, so they won't invest their full fleet (being infinitely busy projecting power across entire globe because that's High Elves for you), but they'll be an absolute nightmare. Of course, maybe they won't intervene, who even knows?
I don't think risk is worth that much; point 1 alone sort of is enough to offset at least part of the costs of "dwarfs will cover it", because dwarf fleet being tied up in Marienburg is likely to not be free, in form of heightened activity of their enemies on the sea.
(2) is just an icing on the cake, in form of "oh yes and this long ass commitment of forces away from trade and home protection may or may not also provoke local high British Empire expy into protecting their client state, good luck".