From Lannquist,2020, p.6, the wholesale Central Bank Digital Currency (CBDC) could reduce settlement risk and counterparty risks.
Investopedia explains the difference clearly:
What Is Settlement Risk? Settlement risk is the possibility that one or more parties will fail to deliver on the terms of a contract at the agreed-upon time.
Default Risk: Default risk is the possibility that one of the parties fails to deliver on a contract entirely.
I don't think it can be explained more clearly than that.