I haven't heard of credit risk with ETF's since they generally hold a basket of securities. But ETN's (Exchange Traded Notes) are structured with unsecured debt and have credit risk of default. I'm not aware if it's ever happened, though.
Lehman was issuing ETNs in UK, Germany and Hong Kong and probably other jurisdictions. Later this went before courts and Lehman lost some judgments as they failed to warn (retail) investors of the risks associated with these ETN like products.
They are still ETF's and their basket may include futures or options to gain the leverage. Credit risk isn't so much the issue with leveraged ETFs as the roll yield can impact long term holdings.
Heaven forbid. Between the SIP pricing scheme (does anyone actually know how .IV is calculated?) and the laxness of the standard reporting it's a miracle anybody calculates NAV *correctly*.