Risk-based design and assessment methods are gaining popularity in performance-based structural fire engineering. These methods usually start by defining a set of hazard scenarios to use as analysis inputs. This approach, proven highly effective for other hazard types such as earthquakes, may not be optimal for fire safety design. Indeed, the strong coupling between the fire phenomenon and structural features enables an ad-hoc design variable selection (and/or optimisation) to reduce fire intensity, making fire scenarios additional design outputs. In addition, such a coupling effect implies that fire scenarios maximising consequences are structure specific. Building on these considerations, this paper discusses the limitations that arise at different analysis steps (i.e., fire-scenario and intensity treatment, identifying fire intensity measures, probabilistic fire hazard analysis, developing fire fragility models, and risk calculation) when using conventional risk-based approaches for design purposes. Furthermore, it compares such approaches with a fire safety design methodology (the Consequence-oriented Fire intensity Optimisation, CFO, approach) that addresses the identified limitations. The potential benefits of integrating the two approaches are also discussed. Finally, the fire design of a simplified steel-girder bridge is introduced as an illustrative example, comparing the consequence metrics and design updating strategies resulting from the two approaches.