While phrases like "even though" and "even if" are often useful for translating Japanese sentences that use で + も (more generally, the て-form of a verb + も), I disagree that this is really a special case. The sense of "even if X" derives from "also X-ing", i.e. "in the case where X happens, as well".
The two uses of の in 危ないのを好むの are nominalizing. We can tell this because they follow predicates (the i-adjective 危ない and the verb 好む), and are followed by particles - which is to say, they are in the exact place where an ordinary noun could go, in order to be described by those predicates). 危ない器具 -> dangerous tool; 危ないの -> dangerous thing, roughly.
There is no の after あって because it simply doesn't make sense grammatically. て-forms of verbs (as well as い-stems) are sufficiently noun-like already to put a particle after them, and they don't function as predicates (unless there is some implied actual predicate they're connecting to, e.g. 下さい at the end of a sentence).
Breaking the sentence down into pieces:
堅実な 器具 が あ って も
safe tools (subj.) exist-ing <also
"even if there are safe tools,"
危ない の を 好む の も
is-dangerous thing (obj.) prefer -ring <also
"preferring dangerous ones -"
思い上がり なん だ ろ？
conceit what be (vol.)
"isn't that also hubris?"
(Here, borrowing the も from the previous part. On a re-reading I agree that it needs to be included as naruto did. Presumably, it refers to some other act that was previously judged conceited during the conversation.)
At any rate: も is not "paired" with the previous one; 堅実な器具があっても attaches to 好む, not to だろ.